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Monte Carlo simulation
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Chib, Siddhartha
7
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6
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6
Dijk, Herman K. van
5
Hong, Han
5
Khalaf, Lynda
5
Koopman, Siem Jan
5
Todorov, Viktor
5
Aït-Sahalia, Yacine
4
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4
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4
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3
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Francq, Christian
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Fulop, Andras
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Gallant, A. Ronald
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Gregory, Allan W.
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Li, Junye
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Monfort, Alain
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Ng, Serena
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Tsionas, Efthymios G.
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2
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Journal of econometrics
International journal of production research
568
European journal of operational research : EJOR
497
International journal of theoretical and applied finance
494
The journal of computational finance
273
The journal of futures markets
269
Mathematical finance : an international journal of mathematics, statistics and financial theory
260
Applied mathematical finance
248
Journal of banking & finance
244
International journal of production economics
234
Finance and stochastics
233
Computational economics
222
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222
Journal of economic dynamics & control
208
The journal of derivatives : the official publication of the International Association of Financial Engineers
208
Insurance / Mathematics & economics
183
NBER working paper series
174
Review of derivatives research
171
Discussion paper / Tinbergen Institute
164
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164
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Physica A: Statistical Mechanics and its Applications
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135
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135
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134
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130
International journal of financial engineering
123
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121
Discussion paper / Center for Economic Research, Tilburg University
120
Energy economics
118
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
114
Journal of mathematical finance
114
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111
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ECONIS (ZBW)
261
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1
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261
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1
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
2
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
3
A fast subsampling method for nonlinear dynamic models
Hong, Han
;
Scaillet, Olivier
- In:
Journal of econometrics
133
(
2006
)
2
,
pp. 557-578
Persistent link: https://www.econbiz.de/10003359579
Saved in:
4
The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Lawford, Steve
;
Stamatogiannis, Michalis P.
- In:
Journal of econometrics
148
(
2009
)
2
,
pp. 124-130
Persistent link: https://www.econbiz.de/10003833748
Saved in:
5
On some properties of Markov chain Monte Carlo
simulation
methods based on particular filter
Pitt, Michael K.
;
Santos Silva, Ralph dos
;
Giordani, Paolo
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 134-151
Persistent link: https://www.econbiz.de/10009691169
Saved in:
6
Estimation of finite sequential games
Maruyama, Shiko
- In:
Journal of econometrics
178
(
2014
)
2
,
pp. 716-726
Persistent link: https://www.econbiz.de/10010257684
Saved in:
7
Exact confidence sets and goodness-of-fit methods for stable distributions
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 3-14
Persistent link: https://www.econbiz.de/10010473451
Saved in:
8
Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three
simulation
estimators
Michaelides, Alexander G.
;
Ng, Serena
- In:
Journal of econometrics
96
(
2000
)
2
,
pp. 231-266
Persistent link: https://www.econbiz.de/10001468767
Saved in:
9
Sequentially adaptive Bayesian learning algorithms for inference and optimization
Geweke, John
;
Durham, Garland
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303357
Saved in:
10
Combining p-values to test for multiple structural breaks in cointegrated regressions
Bergamelli, Michele
;
Bianchi, Annamaria
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 461-482
Persistent link: https://www.econbiz.de/10012303823
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