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Instrumental variables estimation with flexible distributions
Hansen, Christian Bailey; McDonald, James B.; Newey, … - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 13-25
Persistent link: https://www.econbiz.de/10003992787
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Backtesting parametric value-at-risk with estimation risk
Escanciano, J. Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 36-51
Persistent link: https://www.econbiz.de/10003992793
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Sequential implementation of Monte Carlo tests with uniformly bounded resampling risk
Gandy, Axel - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1504-1511
Persistent link: https://www.econbiz.de/10003993017
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Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models
Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 88-121
Persistent link: https://www.econbiz.de/10003997336
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Using approximate results for validating value-at-risk
Hong, Jimmy; Knight, John L.; Satchell, Stephen; … - In: The journal of risk model validation 4 (2010/11) 3, pp. 69-81
Persistent link: https://www.econbiz.de/10008699876
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On generating Monte Carlo samples of continuous diffusion bridges
Lin, Ming; Chen, Rong; Mykland, Per A. - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 820-838
Persistent link: https://www.econbiz.de/10008736836
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Estimating panel VARs from macroeconomic data : some Monte Carlo evidence and an application to OECD public spending shocks
Juessen, Falko; Linnemann, Ludger - 2010
Persistent link: https://www.econbiz.de/10008839866
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Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu - In: Journal of empirical finance 15 (2008) 2, pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
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FIML estimation of treatment effect models with endogenous selection and multiple censored responses via a Monte Carlo EM algorithm
Ramírez, Ricardo Smith - 2007
Persistent link: https://www.econbiz.de/10003668975
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A shrinkage instrumental variable estimator for large datasets
Carriero, Andrea (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003671721