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~subject:"Volatility"
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Search: subject:"SIMULATION"
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Volatility
Simulation
20,279
Theorie
10,832
Theory
10,643
Monte Carlo simulation
6,278
Monte-Carlo-Simulation
5,660
Agent-based modeling
5,227
Agentenbasierte Modellierung
5,227
simulation
2,545
Schätztheorie
1,908
Estimation theory
1,876
Deutschland
1,313
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1,273
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1,253
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1,202
USA
1,172
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1,161
Germany
1,144
United States
1,129
Schätzung
1,093
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1,083
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1,076
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1,070
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1,013
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1,009
Markov-Kette
1,002
Forecasting model
994
Mathematical programming
983
Mathematische Optimierung
983
Bayesian inference
921
Bayes-Statistik
908
Zeitreihenanalyse
851
Optionspreistheorie
829
Time series analysis
829
Option pricing theory
818
Volatilität
797
EU-Staaten
722
Portfolio-Management
716
Portfolio selection
709
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684
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274
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267
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491
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296
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441
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182
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182
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44
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44
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24
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19
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9
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9
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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English
775
Undetermined
6
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5
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1
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Koopman, Siem Jan
19
McAleer, Michael
17
Asai, Manabu
13
Lux, Thomas
13
Chiarella, Carl
9
Forbes, Catherine Scipione
9
Martin, Gael M.
9
Napoletano, Mauro
9
Maneesoonthorn, Worapree
8
Scharth, Marcel
8
Westerhoff, Frank H.
8
Omori, Yasuhiro
7
Bannouh, Karim
5
Dijk, Dick van
5
Kang, Boda
5
León-González, Roberto
5
Nakajima, Jouchi
5
Oosterlee, Cornelis W.
5
Reitz, Stefan
5
Rodrigues, Paulo Jorge Maurício
5
Scaillet, Olivier
5
Schmitt, Noemi
5
Seeger, Norman
5
Stadtmann, Georg
5
Audrino, Francesco
4
Bos, Charles S.
4
Bouchaud, Jean-Philippe
4
Chang, Chia-Lin
4
Cont, Rama
4
Demary, Markus
4
Dufour, Jean-Marie
4
Fagiolo, Giorgio
4
Franke, Reiner
4
Grzelak, Lech A.
4
Ignatieva, Ekaterina
4
Jensen, Mark J.
4
Leal, Sandrine Jacob
4
Lucas, André
4
Maheswaran, S.
4
Malik, Sheheryar
4
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Christian-Albrechts-Universität zu Kiel
2
Aarhus Universitet / Afdeling for Nationaløkonomi
1
Birkbeck College / Department of Economics
1
Centre for Analytical Finance <Århus>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Internationaler Währungsfonds / Research Department
1
London School of Economics (LSE)
1
National Bureau of Economic Research
1
Rimini Centre for Economic Analysis (RCEA)
1
Université Paris-Dauphine (Paris IX)
1
Westfälische Wilhelms-Universität Münster
1
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Discussion paper / Tinbergen Institute
20
Computational economics
18
Journal of econometrics
18
Econometric reviews
16
International journal of theoretical and applied finance
16
Journal of economic dynamics & control
14
Quantitative finance
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of empirical finance
12
Journal of risk and financial management : JRFM
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
The journal of computational finance
11
Economic modelling
9
Finance research letters
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
Working paper / Department of Econometrics and Business Statistics, Monash University
9
The journal of futures markets
8
Energy economics
7
International journal of forecasting
6
Journal of economic behavior & organization : JEBO
6
Journal of economic interaction and coordination
6
Risks : open access journal
6
CAMA working paper series
5
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
5
Econometric Institute research papers
5
Economics letters
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Journal of mathematical finance
5
The journal of risk model validation
5
Applied economics
4
BERG working paper series
4
European journal of operational research : EJOR
4
Finance and stochastics
4
GRIPS discussion papers
4
Journal of applied econometrics
4
Journal of banking & finance
4
SFB 649 discussion paper
4
The European journal of finance
4
The North American journal of economics and finance : a journal of financial economics studies
4
Applied mathematical finance
3
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Source
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ECONIS (ZBW)
780
RePEc
7
Showing
1
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10
of
787
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date (oldest first)
1
Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.
;
Navas, T. Muhammed
;
Thayyib, P. V.
; …
- In:
Journal of open innovation : technology, market, and …
10
(
2024
)
2
,
pp. 1-16
statistical inference, and the
simulation
uses the Hamiltonian Monte Carlo (HMC) algorithm of Markov Chain Monte Carlo (MCMC) to …
Persistent link: https://www.econbiz.de/10014581582
Saved in:
2
Nonparametric test for volatility in clustered multiple time series
Barrios, Erniel B.
;
Redondo, Paolo Victor T.
- In:
Computational economics
63
(
2024
)
2
,
pp. 861-876
Persistent link: https://www.econbiz.de/10014475068
Saved in:
3
L1 regularization for high-dimensional multivariate GARCH models
Yao, Sijie
;
Zou, Hui
;
Xing, Haipeng
- In:
Risks : open access journal
12
(
2024
)
2
,
pp. 1-29
carry out
simulation
studies to show the performance of the proposed inference framework and the procedure for selecting …
Persistent link: https://www.econbiz.de/10014497339
Saved in:
4
Optimising portfolio risk by involving crypto assets in a volatile macroeconomic environment
Bányai, Attila
;
Tatay, Tibor
;
Thalmeiner, Gergő
; …
- In:
Risks : open access journal
12
(
2024
)
4
,
pp. 1-21
. The two time periods examined in the
simulation
produced very different results. An analysis of the second period suggests …
Persistent link: https://www.econbiz.de/10014636496
Saved in:
5
Simulating Uncorrelated Samples Using Markov Chains Monte Carlo Through Gpu for Stochastic Volatility Models Estimation
Santos, António Alberto
-
2022
Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...
Persistent link: https://www.econbiz.de/10013293307
Saved in:
6
Simulating Uncorrelated Samples Using Markov Chains Monte Carlo Through Gpu for Stochastic Volatility Models Estimation
Santos, António Alberto
-
2022
Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...
Persistent link: https://www.econbiz.de/10013293308
Saved in:
7
Oil price volatility models during coronavirus crisis : testing with appropriate models using further univariate GARCH and Monte Carlo
simulation
models
Bouazizi, Tarek
;
Lassoued, Mongi
;
Hadhek, Zouhaier
- In:
International Journal of Energy Economics and Policy : IJEEP
11
(
2021
)
1
,
pp. 281-292
Persistent link: https://www.econbiz.de/10012587611
Saved in:
8
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
9
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
10
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
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