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~subject:"Monte-Carlo-Simulation"
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Search: subject:"Student-t distribution"
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Monte-Carlo-Simulation
Continuous distribution
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32
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30
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ECONIS (ZBW)
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Higher moments in the fundamental specification of electricity forward prices
Gianfreda, Angelica
;
Scandolo, Giacomo
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2063-2078
Persistent link: https://www.econbiz.de/10013490922
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2
Volatility estimation using a rational GARCH model
Takaishi, Tetsuya
- In:
Quantitative finance and economics
2
(
2018
)
1
,
pp. 127-136
Persistent link: https://www.econbiz.de/10012137901
Saved in:
3
Vector autoregression models with skewness and heavy tails
Karlsson, Sune
;
Mazur, Stepan
;
Nguyen, Hoang
-
2021
Persistent link: https://www.econbiz.de/10012604814
Saved in:
4
Vector autoregression models with skewness and heavy tails
Karlsson, Sune
;
Mazur, Stepan
;
Nguyen, Hoang
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478164
Saved in:
5
Incorporating realized quarticity into a realized stochastic volatility model
Nugroho, Didit B.
;
Morimoto, Takayuki
- In:
Asia-Pacific financial markets
26
(
2019
)
4
,
pp. 495-528
Persistent link: https://www.econbiz.de/10012309817
Saved in:
6
The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique
;
Christodoulakis, George A.
;
Poon, …
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
2
,
pp. 67-97
Persistent link: https://www.econbiz.de/10011298505
Saved in:
7
An empirical application of a stochastic volatility model with GH skew
Student
's
t-distribution
to the volatility of Latin-American stock returns
Lengua Lafosse, Patricia
;
Rodriguez, Gabriel
- In:
The quarterly review of economics and finance : journal …
69
(
2018
),
pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
Saved in:
8
Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian
-
2013
Persistent link: https://www.econbiz.de/10010243571
Saved in:
9
DSGE models with student-t errors
Chib, Siddhartha
;
Ramamurthy, Srikanth
- In:
Econometric reviews
33
(
2014
)
1/4
,
pp. 152-171
Persistent link: https://www.econbiz.de/10010358321
Saved in:
10
A comparative study of two models SV with MCMC algorithm
Hachicha, Ahmed
;
Hachicha, Fatma
;
Masmoudi, Afif
- In:
Review of quantitative finance and accounting
38
(
2012
)
4
,
pp. 479-493
Persistent link: https://www.econbiz.de/10009574060
Saved in:
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