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1
A consistent nonparametric test for the structure change in quantile regression
Liu, Weiqiang
- In:
Economics letters
228
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014451308
Saved in:
2
Bayesian analysis of spatial dynamic panel data model with convex combinations of different spatial weight matrices : a reparameterized approach
Cai, Zhengzheng
;
Zhu, Yanli
;
Han, Xiaoyi
- In:
Economics letters
217
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013465499
Saved in:
3
Panel threshold spatial Durbin models with individual fixed effects
Wei, Lili
;
Zhang, Chunli
;
Su, Jen-je
;
Yang, Lixiong
- In:
Economics letters
201
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012606957
Saved in:
4
Comparison of stochastic frontier models using the Hyvärinen factor
Tsionas, Efthymios G.
- In:
Economics letters
202
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012607224
Saved in:
5
Purchasing power parities and the Dollar-A-Day approach : An unstable relationship
Moatsos, Michail
;
Lazopoulos, Achillefs
- In:
Economics letters
206
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012886542
Saved in:
6
Resolving the conflict on conduct parameter estimation in homogeneous goods markets between Bresnahan (1982) and Perloff and Shen (2012)
Matsumura, Yuri
;
Otani, Suguru
- In:
Economics letters
229
(
2023
),
pp. 1-3
Persistent link: https://www.econbiz.de/10014455358
Saved in:
7
Bayesian estimation and model selection of threshold spatial Durbin model
Zhu, Yanli
;
Han, Xiaoyi
;
Chen, Ying
- In:
Economics letters
188
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012227846
Saved in:
8
Quantile stochastic frontier models with endogeneity
Tsionas, Efthymios G.
;
Assaf, A. Georges
; …
- In:
Economics letters
188
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012227857
Saved in:
9
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
10
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
11
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
12
Estimating impulse response functions when the shock series is observed
Choi, Chi-young
;
Chudik, Alexander
- In:
Economics letters
180
(
2019
),
pp. 71-75
Persistent link: https://www.econbiz.de/10012121767
Saved in:
13
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
14
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
15
American option pricing with regression : convergence analysis
Liu, Chen
;
Schellhorn, Henry
;
Peng, Qidi
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012183261
Saved in:
16
A note on the Cogley-Nason-Sims approach
Hussain, Syed M.
;
Liu, Lin
- In:
Economics letters
146
(
2016
),
pp. 77-81
Persistent link: https://www.econbiz.de/10011619103
Saved in:
17
Nonlinear impact estimation in spatial autoregressive models
Ay, Jean-Sauveur
;
Ayouba, Kassoum
;
Le Gallo, Julie
- In:
Economics letters
163
(
2018
),
pp. 59-64
Persistent link: https://www.econbiz.de/10011982927
Saved in:
18
A note on the different interpretation of the correlation parameters in the Bivariate Probit and the Recursive Bivariate Probit
Filippini, Massimo
;
Greene, William H.
;
Kumar, Nilkanth
; …
- In:
Economics letters
167
(
2018
),
pp. 104-107
Persistent link: https://www.econbiz.de/10012016506
Saved in:
19
Accounting for persistence in panel count data models : an application to the number of patents awarded
Dimitrakopoulos, Stefanos
- In:
Economics letters
171
(
2018
),
pp. 245-248
Persistent link: https://www.econbiz.de/10012021796
Saved in:
20
Estimation for the spatial autoregressive threshold model
Deng, Ying
- In:
Economics letters
171
(
2018
),
pp. 172-175
Persistent link: https://www.econbiz.de/10012021829
Saved in:
21
Bayesian local influence analysis : with an application to stochastic frontiers
Tsionas, Efthymios G.
- In:
Economics letters
165
(
2018
),
pp. 54-57
Persistent link: https://www.econbiz.de/10011973833
Saved in:
22
XVA principles, nested Monte Carlo strategies, and GPU optimizations
Abbas-Turki, Lokman A.
;
Crépey, Stéphane
;
Diallo, Babacar
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011926570
Saved in:
23
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
24
On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
Saved in:
25
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
Saved in:
26
Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
Dimitrakopoulos, Stefanos
- In:
Economics letters
150
(
2017
),
pp. 10-14
Persistent link: https://www.econbiz.de/10011761750
Saved in:
27
Computing credit valuation adjustment for Bermudan options with wrong way risk
Feng, Qian
;
Oosterlee, Cornelis Willebrordus
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011787454
Saved in:
28
The semiparametric asymmetric stochastic volatility model with time-varying parameters : the case of US inflation
Dimitrakopoulos, Stefanos
- In:
Economics letters
155
(
2017
),
pp. 14-18
Persistent link: https://www.econbiz.de/10011821483
Saved in:
29
An extension of stochastic volatility model with mixed frequency information
Shang, Yuhuang
;
Liu, Lulu
- In:
Economics letters
155
(
2017
),
pp. 144-148
Persistent link: https://www.econbiz.de/10011821634
Saved in:
30
Evaluating the size of the bootstrap method for fund performance evaluation
Cheng, Tingting
;
Yan, Cheng
- In:
Economics letters
156
(
2017
),
pp. 36-41
Persistent link: https://www.econbiz.de/10011822349
Saved in:
31
Discrete-response state space models with conditional heteroscedasticity : an application to forecasting the federal funds rate target
Dimitrakopoulos, Stefanos
;
Dey, Dipak
- In:
Economics letters
154
(
2017
),
pp. 20-23
Persistent link: https://www.econbiz.de/10011810690
Saved in:
32
Confidence intervals in regressions with estimated factors and idiosyncratic components
Fosten, Jack
- In:
Economics letters
157
(
2017
),
pp. 71-74
Persistent link: https://www.econbiz.de/10011847312
Saved in:
33
A unit root test against globally stationary ESTAR models when local condition is non-stationary
Hu, Junjuan
;
Chen, Zhenlong
- In:
Economics letters
146
(
2016
),
pp. 89-94
Persistent link: https://www.econbiz.de/10011619120
Saved in:
34
Identifying stationary series in panels : a Monte Carlo evaluation of sequential panel selection methods
Costantini, Mauro
;
Lupi, Claudio
- In:
Economics letters
138
(
2016
),
pp. 9-14
Persistent link: https://www.econbiz.de/10011615336
Saved in:
35
Least squares Monte Carlo credit value adjustment with small and unidirectional bias
Joshi, Mark S.
;
Kwon, Oh Kang
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011686744
Saved in:
36
Difference-in-differences techniques for spatial data : local autocorrelation and spatial interaction
Delgado, Michael S.
;
Florax, Raymond J. G. M.
- In:
Economics letters
137
(
2015
),
pp. 123-126
Persistent link: https://www.econbiz.de/10011436285
Saved in:
37
Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed Lalaoui Ben
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
Saved in:
38
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
39
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
40
Estimating residual hedging risk with least-squares Monte Carlo
Ankirchner, Stefan
;
Pigorsch, Christian
;
Schweizer, Nikolaus
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498866
Saved in:
41
Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method
Tanaka, Hideyuki
;
Yamada, Toshihiro
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10010363902
Saved in:
42
A Monte Carlo study of a factor analytical method for fixed-effects dynamic panel models
Norkute, Milda
- In:
Economics letters
123
(
2014
)
3
,
pp. 348-351
Persistent link: https://www.econbiz.de/10010401270
Saved in:
43
A simple estimator for partial linear regression with endogenous nonparametric variables
Delgado, Michael S.
;
Parmeter, Christopher F.
- In:
Economics letters
124
(
2014
)
1
,
pp. 100-103
Persistent link: https://www.econbiz.de/10010490581
Saved in:
44
Optimal climate policy : uncertainty versus Monte Carlo
Crost, Benjamin
;
Traeger, Christian
- In:
Economics letters
120
(
2013
)
3
,
pp. 552-558
Persistent link: https://www.econbiz.de/10010187180
Saved in:
45
Partial unit root and linear spurious regression : a Monte Carlo simulation study
Zhang, Lingxiang
- In:
Economics letters
118
(
2013
)
1
,
pp. 189-191
Persistent link: https://www.econbiz.de/10009706822
Saved in:
46
Automated option pricing : numerical methods
Henry-Labordère, Pierre
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010243611
Saved in:
47
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
48
A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Aistleitner, Christoph
;
Hofer, Markus
;
Tichy, Robert F.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009685903
Saved in:
49
Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia
;
Minozzo, Marco
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
Saved in:
50
A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
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