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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Fu, Michael"
~subject:"Estimation theory"
~type:"article"
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Stochastischer Prozess
Volatility
Estimation theory
Schätztheorie
11
Simulation
6
Stochastic process
4
simulation
4
Derivat
3
Derivative
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Sensitivity analysis
3
Sensitivitätsanalyse
3
sensitivity analysis
3
Estimation
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Regression analysis
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Schätzung
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perturbation analysis
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stochastic derivative estimation
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Computing budget allocation
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Maximum likelihood estimation
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11
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Fu, Michael
Phillips, Peter C. B.
94
Baltagi, Badi H.
68
Lee, Lung-fei
68
Li, Qi
65
Linton, Oliver
57
Ullah, Aman
56
Newey, Whitney K.
54
Andrews, Donald W. K.
53
Tsionas, Efthymios G.
49
Su, Liangjun
48
Wooldridge, Jeffrey M.
45
Pesaran, M. Hashem
42
Kumbhakar, Subal
41
Robinson, Peter M.
41
White, Halbert
41
Gouriéroux, Christian
40
Ohtani, Kazuhiro
40
Gao, Jiti
38
Chen, Songnian
36
Simar, Léopold
36
Horowitz, Joel
35
McAleer, Michael
35
Parmeter, Christopher F.
35
Bera, Anil K.
34
Dufour, Jean-Marie
33
Hsiao, Cheng
33
Fan, Yanqin
32
Hahn, Jinyong
32
Krämer, Walter
32
Perron, Pierre
32
Bai, Jushan
31
Cai, Zongwu
31
Florens, Jean-Pierre
31
Lütkepohl, Helmut
31
Chen, Xiaohong
30
Giles, David E. A.
30
Hansen, Bruce E.
29
Hendry, David F.
29
Hausman, Jerry A.
28
Westerlund, Joakim
28
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Operations research
5
INFORMS journal on computing : JOC
3
European journal of operational research : EJOR
1
Production and operations management : an international journal of the Production and Operations Management Society
1
Simulation
1
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ECONIS (ZBW)
11
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1
Computing sensitivities for distortion risk measures
Glynn, Peter W.
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
INFORMS journal on computing : JOC
33
(
2021
)
4
,
pp. 1520-1532
Persistent link: https://www.econbiz.de/10012796944
Saved in:
2
On the variance of single-run unbiased stochastic derivative estimators
Cui, Zhenyu
;
Fu, Michael
;
Hu, Jian-Qiang
;
Liu, Yanchu
; …
- In:
INFORMS journal on computing : JOC
32
(
2020
)
2
,
pp. 390-407
Persistent link: https://www.econbiz.de/10012242769
Saved in:
3
Maximum likelihood estimation by Monte Carlo simulation : toward data-driven stochastic modeling
Peng, Yijie
;
Fu, Michael
;
Heidergott, Bernd
;
Lam, Henry
- In:
Operations research
68
(
2020
)
6
,
pp. 1896-1912
Persistent link: https://www.econbiz.de/10012392175
Saved in:
4
Technical note: central limit theorems for estimated functions at estimated points
Glynn, Peter W.
;
Fan, Lin
;
Fu, Michael
;
Hu, Jian-Qiang
; …
- In:
Operations research
68
(
2020
)
5
,
pp. 1557-1563
Persistent link: https://www.econbiz.de/10012301573
Saved in:
5
Optimal unbiased estimation for expected cumulative discounted cost
Cui, Zhenyu
;
Fu, Michael
;
Peng, Yijie
;
Zhu, Lingjiong
- In:
European journal of operational research : EJOR
286
(
2020
)
2
,
pp. 604-618
Persistent link: https://www.econbiz.de/10012291551
Saved in:
6
A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
;
Heidergott, Bernd
- In:
Operations research
66
(
2018
)
2
,
pp. 487-499
Persistent link: https://www.econbiz.de/10011845997
Saved in:
7
On estimating quantile sensitivities via infinitesimal perturbation analysis
Jiang, Guangxin
;
Fu, Michael
- In:
Operations research
63
(
2015
)
2
,
pp. 435-441
Persistent link: https://www.econbiz.de/10010526698
Saved in:
8
Regression models augmented with direct stochastic gradient estimators
Fu, Michael
;
Qu, Huashuai
- In:
INFORMS journal on computing : JOC
26
(
2014
)
3
,
pp. 484-499
Persistent link: https://www.econbiz.de/10010399808
Saved in:
9
A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang
;
Fu, Michael
;
Marcus, Steven I.
- In:
Operations research
60
(
2012
)
2
,
pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
Saved in:
10
Conditional Monte Carlo gradient estimation in economic design of control limits
Fu, Michael
;
Lele, Shreevardhan
;
Vossen, Thomas W. M.
- In:
Production and operations management : an international …
18
(
2009
)
1
,
pp. 60-77
Persistent link: https://www.econbiz.de/10003827806
Saved in:
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