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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of empirical finance"
~subject:"Monte Carlo simulation"
~subject:"Volatilität"
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Search: subject_exact:"Markoff-Kette"
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Monte Carlo simulation
Volatilität
Markov chain
240
Markov-Kette
240
Theorie
153
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153
Stochastic process
42
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42
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Tsionas, Efthymios G.
5
Cui, Zhenyu
2
De Giuli, Maria Elena
2
Kirkby, J. Lars
2
Nguyen, Duy
2
Tarantola, Claudia
2
Aragó Manzana, Vicent
1
Assaf, A. Georges
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Bassetti, Federico
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European journal of operational research : EJOR
Journal of empirical finance
Journal of econometrics
56
Energy economics
37
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Discussion paper / Tinbergen Institute
27
Economic modelling
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Working paper / Department of Econometrics and Business Statistics, Monash University
20
International journal of forecasting
18
Quantitative finance
18
Finance research letters
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Applied economics
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The North American journal of economics and finance : a journal of financial economics studies
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Econometric reviews
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International review of financial analysis
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11
International journal of theoretical and applied finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
International review of economics & finance : IREF
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Journal of mathematical finance
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Review of quantitative finance and accounting
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Risks : open access journal
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The European journal of finance
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Journal of risk and financial management : JRFM
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Journal of the American Statistical Association : JASA
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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SFB 649 discussion paper
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
32
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1
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models
Nguyen, Ha
- In:
Journal of empirical finance
72
(
2023
),
pp. 103-121
Persistent link: https://www.econbiz.de/10014476811
Saved in:
2
Bayesian learning in performance : is there any?
Tsionas, Efthymios G.
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 263-282
Persistent link: https://www.econbiz.de/10014336445
Saved in:
3
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
4
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
5
Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Meier, Christian
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
European journal of operational research : EJOR
305
(
2023
)
3
,
pp. 1292-1308
Persistent link: https://www.econbiz.de/10013498792
Saved in:
6
Volatility cascades in cryptocurrency trading
Gradojevic, Nikola
;
Tsiakas, Ilias
- In:
Journal of empirical finance
62
(
2021
),
pp. 252-265
Persistent link: https://www.econbiz.de/10012693424
Saved in:
7
Option pricing with conditional GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
Saved in:
8
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
9
A Bayesian approach to continuous type principal-agent problems
Assaf, A. Georges
;
Bu, Ruijun
;
Tsionas, Efthymios G.
- In:
European journal of operational research : EJOR
280
(
2020
)
3
,
pp. 1188-1192
Persistent link: https://www.econbiz.de/10012132531
Saved in:
10
A coherent approach to Bayesian Data Envelopment Analysis
Tsionas, Efthymios G.
- In:
European journal of operational research : EJOR
281
(
2020
)
2
,
pp. 439-448
Persistent link: https://www.econbiz.de/10012153692
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