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~institution:"Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)"
~institution:"Department of Econometrics and Business Statistics, Monash Business School"
~institution:"EconWPA"
~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
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Search: subject:"Monte"
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Markov chain Monte Carlo
27
Monte Carlo
15
Markov Chain Monte Carlo
12
Monte Carlo simulations
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Bayes factors
5
Bayesian inference
5
Monte Carlo simulation
5
Monte-Carlo
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importance sampling
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Monte Carlo method
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neural networks
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value-at-risk
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Quasi-Monte Carlo
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risk measures
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stochastic volatility
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European industry portfolios
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GARCH
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van Dijk, Herman K.
13
Zhang, Xibin
11
Guegan, Dominique
10
King, Maxwell L.
6
Bauwens, Luc
5
Bos, Charles
5
Martin, Gael M.
5
Chib, Siddhartha
4
Forbes, Catherine S.
4
Hoogerheide, Hoogerheide, L.F.
4
Kaashoek, Kaashoek, J.F.
4
Ley, Eduardo
4
Steel, Mark F.J.
4
Fernandez, Carmen
3
Greenberg, Edward
3
Harvey, Harvey, A.C.
3
Hassani, Bertrand K.
3
Maneesoonthorn, Worapree
3
Steel, Mark
3
Trimbur, Trimbur, T.M.
3
Tse, Y.K.
3
van Oest, van Oest, R.D.
3
Addo, Peter Martey
2
Ahamada, Ibrahim
2
Benhamou, Eric
2
Billio, Monica
2
Franses, Philip Hans
2
Gao, Jiti
2
Gutierrez, Luciano
2
Jolivaldt, Philippe
2
Keller, Wolfgang
2
Kocenda, Evzen
2
Leroux, Justin
2
Lu, Zhiping
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Mergner, Sascha
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Sanford, Andrew D.
2
van Dijk, Dick
2
ABOURA, Sofiane
1
Abrahamson, Allen
1
Akram, Muhammad
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
Department of Econometrics and Business Statistics, Monash Business School
EconWPA
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
98
National Bureau of Economic Research
90
International Monetary Fund (IMF)
62
HAL
49
Université Paris-Dauphine (Paris IX)
39
Tinbergen Instituut
35
Society for Computational Economics - SCE
27
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
25
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
25
Tinbergen Institute
25
Institute for the Study of Labor (IZA)
20
Erasmus University Rotterdam, Econometric Institute
19
Agricultural and Applied Economics Association - AAEA
18
Rimini Centre for Economic Analysis (RCEA)
18
Econometric Society
17
Nationalekonomiska Institutionen, Ekonomihögskolan
17
Economics Department, Queen's University
16
Département de Sciences Économiques, Université de Montréal
15
Finance Discipline Group, Business School
14
C.E.P.R. Discussion Papers
13
Centre for Analytical Finance <Århus>
13
Department of Economics, Oxford University
13
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
12
Econometrisch Instituut <Rotterdam>
12
Ekonomiska forskningsinstitutet <Stockholm>
12
University of British Columbia / Finance Division
12
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
11
School of Economics, Singapore Management University
11
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
11
Department of Economics and Finance, College of Business and Economics
10
Department of Economics, University of Victoria
10
Department of Economics, University of Warwick
10
European Central Bank
10
Facoltà di Economia, Università degli Studi dell'Insubria
10
Faculty of Economics, University of Cambridge
10
Oesterreichische Nationalbank
10
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Econometrics
26
Monash Econometrics and Business Statistics Working Papers
20
Econometric Institute Research Papers
19
Finance
16
Documents de travail du Centre d'Economie de la Sorbonne
14
Macroeconomics
4
International Trade
3
Computational Economics
1
Others
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Risk and Insurance
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Source
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RePEc
105
Showing
1
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of
105
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date (newest first)
date (oldest first)
1
Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models
Cheng, Tingting
;
Gao, Jiti
;
Zhang, Xibin
-
Department of Econometrics and Business Statistics, …
-
2015
of the unknown parameters involved in the error density. A
Monte
Carlo simulation study shows that (i) the proposed …
Persistent link: https://www.econbiz.de/10011188646
Saved in:
2
Comonotonic
Monte
Carlo and its applications in option pricing and quantification of risk
Chateauneuf, Alain
;
Mostoufi, Mina
;
Vyncke, David
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2015
Monte
Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical … paper we introduce the Comonotonic
Monte
Carlo (CoMC) simulation, which uses the best features of both approaches. By using …
Persistent link: https://www.econbiz.de/10011194455
Saved in:
3
A Computational Implementation of GMM
Gao, Jiti
;
Hong, Han
-
Department of Econometrics and Business Statistics, …
-
2014
estimators do not need to rely on numerical optimization or Markov Chain
Monte
Carlo simulations. They provide an effective …
Persistent link: https://www.econbiz.de/10011093867
Saved in:
4
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Maneesoonthorn, Worapree
;
Forbes, Catherine S.
;
Martin, …
-
Department of Econometrics and Business Statistics, …
-
2014
Monte
Carlo algorithm. The calculation of marginal likelihoods for the proposed and related models is discussed. An …
Persistent link: https://www.econbiz.de/10011141014
Saved in:
5
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Maneesoonthorn, Worapree
;
Forbes, Catherine S.
;
Martin, …
-
Department of Econometrics and Business Statistics, …
-
2013
the observable quantities. Bayesian inference, based on a Markov chain
Monte
Carlo algorithm, is used to obtain a …
Persistent link: https://www.econbiz.de/10010860403
Saved in:
6
Gaussian kernel GARCH models
Zhang, Xibin
;
King, Maxwell L.
-
Department of Econometrics and Business Statistics, …
-
2013
and benefit of localized bandwidths in the kernel-form error density. A
Monte
Carlo simulation study reveals that the …
Persistent link: https://www.econbiz.de/10010860418
Saved in:
7
The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios.
Hassani, Bertrand K.
;
Renaudin, Alexis
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2013
According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...
Persistent link: https://www.econbiz.de/10010617533
Saved in:
8
Using a time series approach to correct serial correlation in Operational Risk capital calculation.
Guegan, Dominique
;
Hassani, Bertrand K.
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2012
processes considering various distributions fitted on the residuals.
Monte
Carlo simulation enables the construction of the LDF …
Persistent link: https://www.econbiz.de/10010747039
Saved in:
9
An Autocorrelated Loss Distribution Approach: back to the time series.
Guegan, Dominique
;
Hassani, Bertrand K.
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2012
AR, ARFI and Gegenbauer processes, and a distribution is fitted on the residuals. Finally a
Monte
Carlo simulation …
Persistent link: https://www.econbiz.de/10010711861
Saved in:
10
Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors
Zhang, Xibin
;
King, Maxwell L.
-
Department of Econometrics and Business Statistics, …
-
2004
This paper presents a Markov chain
Monte
Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes … be approximated using a particle filter and a
Monte
Carlo kernel likelihood. When applying the heavy-tailed asymmetric …
Persistent link: https://www.econbiz.de/10005149031
Saved in:
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