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Simulated Likelihood Estimator...
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Giesecke, Kay
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Inference for large financial systems
Giesecke, Kay
;
Schwenkler, Gustavo
;
Sirignano, Justin A.
- In:
Mathematical Finance
(
2019
)
Persistent link: https://www.econbiz.de/10012095186
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2
Filtered likelihood for point processes
Giesecke, Kay
;
Schwenkler, Gustavo
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 33-53
Persistent link: https://www.econbiz.de/10011974711
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Efficient estimation and filtering for multivariate jump-diffusions
Guay, François
;
Schwenkler, Gustavo
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10012619970
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Corporate bond default risk : a 150-year perspective
Giesecke, Kay
;
Longstaff, Francis A.
;
Schaefer, Stephen M.
-
2010
Persistent link: https://www.econbiz.de/10003952425
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5
Macroeconomic effects of corporate default crises : a long-term perspective
Giesecke, Kay
;
Longstaff, Francis A.
;
Schaefer, Stephen M.
-
2012
Persistent link: https://www.econbiz.de/10009516751
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6
Deep learning for mortgage risk
Sadhwani, Apaar
;
Giesecke, Kay
;
Sirignano, Justin
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 313-368
Persistent link: https://www.econbiz.de/10012620055
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7
Introduction to the special section on data-driven prescriptive analytics
Giesecke, Kay
;
Liberali, Gui
;
Nazerzadeh, Hamid
; …
- In:
Management science : journal of the Institute for …
68
(
2022
)
3
,
pp. 1591-1594
Persistent link: https://www.econbiz.de/10013259930
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8
Simulated likelihood estimators for discretely observed jump-diffusions
Giesecke, Kay
;
Schwenkler, G.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 297-320
Persistent link: https://www.econbiz.de/10012304557
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9
Variation-based tests for volatility misspecification
Papanicolaou, Alex
;
Giesecke, Kay
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 217-230
Persistent link: https://www.econbiz.de/10011598102
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Risk analysis for large pools of loans
Sirignano, Justin
;
Giesecke, Kay
- In:
Management science : journal of the Institute for …
65
(
2019
)
1
,
pp. 107-121
Persistent link: https://www.econbiz.de/10011991377
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