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Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing

Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 90-150

Persistent link: https://www.econbiz.de/10014471160

Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

Persistent link: https://www.econbiz.de/10010341118

Credit risk measurement using VaR methodology

Valaskova, Katarina; Siekelova, Anna; Weissova, Ivana - In: Advances in applied economic research : proceedings of …, (pp. 289-302). 2017

Persistent link: https://www.econbiz.de/10011744130

A Monte Carlo study on multiple output stochastic frontiers : a comparison of two approaches

Henningsen, Géraldine; Henningsen, Arne; Jensen, Uwe - In: Journal of productivity analysis 44 (2015) 3, pp. 309-320

Persistent link: https://www.econbiz.de/10011578895

Modeling a dynamic portfolio for pension plans in emerging markets with myopic and nonmyopic behavior

Pimentel, Livia F.; Santiago, Leonardo P. - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 14-26

Persistent link: https://www.econbiz.de/10011561376

Directed tests of no cross-sectional correlation in large-N panel data models

Demetrescu, Matei; Homm, Ulrich-Michael - In: Journal of applied econometrics 31 (2016) 1, pp. 4-31

Persistent link: https://www.econbiz.de/10011642081

Estimation of dynamic panel data models with cross-sectional dependence : using cluster dependence for efficiency

Verdier, Valentin - In: Journal of applied econometrics 31 (2016) 1, pp. 85-105

Persistent link: https://www.econbiz.de/10011642107

Identification of spatial durbin panel models

Lee, Lung-fei; Yu, Jihai - In: Journal of applied econometrics 31 (2016) 1, pp. 133-162

Persistent link: https://www.econbiz.de/10011642121

Estimating the dynamics and persistence of financial networks, with an application to the sterling money market

Giraitis, Liudas; Kapetanios, George; Wetherilt, Anne Vila - In: Journal of applied econometrics 31 (2016) 1, pp. 58-84

Persistent link: https://www.econbiz.de/10011642137

Panel data models with grouped factor structure under unknown group membership

Ando, Tomohiro; Bai, Jushan - In: Journal of applied econometrics 31 (2016) 1, pp. 163-191

Persistent link: https://www.econbiz.de/10011642138

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