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Essays on Bayesian econometrics
Radchenko, Stanislav - 2002
Persistent link: https://www.econbiz.de/10003780474
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Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method
Haahtela, Tero J. - 2011
This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … over time. The method is computationally efficient because it requires only one pass of simulation runs regardless of the …
Persistent link: https://www.econbiz.de/10013123815
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Robust inference in single firm/single event analyses
Elsas, Ralf; Schoch, Daniela - In: The journal of corporate finance : contracting, … 80 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014365119
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Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip; Maheswaran, S. - In: Economic modelling 31 (2013), pp. 484-491
Persistent link: https://www.econbiz.de/10009730777
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Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Kumar, Dilip - In: IIMB management review 28 (2016) 1, pp. 31-42
Persistent link: https://www.econbiz.de/10011508738
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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On importance sampling for state space models
Jungbacker, Borus; Koopman, Siem Jan - 2005
and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
Persistent link: https://www.econbiz.de/10011348357
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Finite-sample properties of GARCH models in the presence of time-varying unconditional variance : a simulation story
Old, Oliver - 2020
Persistent link: https://www.econbiz.de/10012149432
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The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility
Adubisi, Obinna Damian; Abdulkadir, Ahmed; Adubisi, … - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1176-1202
Persistent link: https://www.econbiz.de/10015403117
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Simulation smoothing for state space models : an extremum Monte Carlo approach
Moussa, Karim - 2025
This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It …
Persistent link: https://www.econbiz.de/10015404318