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~person:"Billio, Monica"
~person:"Hoogerheide, Lennart F."
~person:"Maneesoonthorn, Worapree"
~subject:"Monte Carlo simulation"
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Monte Carlo simulation
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Billio, Monica
Hoogerheide, Lennart F.
Maneesoonthorn, Worapree
Dijk, Herman K. van
33
Tsionas, Efthymios G.
24
Ravazzolo, Francesco
16
Casarin, Roberto
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Martin, Gael M.
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ECONIS (ZBW)
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1
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
2
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
3
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, Istvan
-
2016
these proposal densities are used in an independent Metropolis-Hastings
algorithm
or in importance sampling. Our method …
Persistent link: https://www.econbiz.de/10013005987
Saved in:
4
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
5
To Bridge, to Warp or to Wrap? A Comperative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood
Ardia, David
-
2015
use of importance sampling or the independence chain Metropolis-Hastings
algorithm
for posterior analysis. A comparative …
Persistent link: https://www.econbiz.de/10012749869
Saved in:
6
Bayesian Graphical Models for Structural Vector Autoregressive Processes
Ahelegbey, Daniel Felix
-
2014
represented by two different graphs. We also provide an efficient Markov chain Monte Carlo
algorithm
to estimate jointly the two …
Persistent link: https://www.econbiz.de/10013064757
Saved in:
7
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
8
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
9
Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica
;
Casarin, Roberto
;
Ravazzolo, Francesco
; …
-
2012
Persistent link: https://www.econbiz.de/10009724346
Saved in:
10
Bayesian graphical models for structural vector autoregressive processes
Ahelegbey, Daniel Felix
;
Billio, Monica
;
Casarin, Roberto
-
2012
Persistent link: https://www.econbiz.de/10011629070
Saved in:
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