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  • Search: subject_exact:"Monte Carlo simulation"
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Year of publication
Subject
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Monte Carlo simulation 7,299 Monte-Carlo-Simulation 6,701 Theorie 2,916 Theory 2,892 Schätztheorie 1,482 Estimation theory 1,473 Simulation 1,089 Markov-Kette 1,065 Markov chain 1,064 Bayesian inference 910 Bayes-Statistik 908 Stochastischer Prozess 877 Schätzung 873 Stochastic process 871 Estimation 866 Optionspreistheorie 719 Option pricing theory 711 Zeitreihenanalyse 661 Time series analysis 656 Volatilität 632 Volatility 628 Prognoseverfahren 517 Forecasting model 515 Panel 485 Panel study 480 Sampling 404 Stichprobenerhebung 404 Regression analysis 362 Regressionsanalyse 362 Statistischer Test 362 Statistical test 353 Portfolio-Management 300 Portfolio selection 295 USA 294 United States 289 Statistische Verteilung 283 VAR-Modell 283 Statistical distribution 281 VAR model 280 Risikomanagement 279
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Online availability
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Free 3,069 Undetermined 2,060 CC license 137
Type of publication
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Article 4,306 Book / Working Paper 3,482 Other 3
Type of publication (narrower categories)
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Article in journal 3,377 Aufsatz in Zeitschrift 3,377 Working Paper 1,811 Arbeitspapier 1,698 Graue Literatur 1,681 Non-commercial literature 1,681 Aufsatz im Buch 213 Book section 213 Hochschulschrift 153 Thesis 131 Article 51 research-article 45 Collection of articles written by one author 22 Conference paper 22 Konferenzbeitrag 22 Sammlung 22 Collection of articles of several authors 20 Sammelwerk 20 Dissertation u.a. Prüfungsschriften 18 Amtsdruckschrift 16 Government document 16 Lehrbuch 15 Case study 14 Fallstudie 14 Aufsatzsammlung 13 Textbook 13 Konferenzschrift 9 Forschungsbericht 7 Systematic review 6 Übersichtsarbeit 6 Bibliografie enthalten 5 Bibliography included 5 Bibliografie 3 Conference Paper 3 Congress Report 3 Reprint 3 conceptual-paper 3 technical-paper 3 Accompanied by computer file 2 Elektronischer Datenträger als Beilage 2
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Language
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English 6,807 Undetermined 729 German 215 French 17 Spanish 13 Portuguese 5 Czech 3 Hungarian 2 Slovak 2 Croatian 1 Italian 1 Polish 1
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Author
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Koopman, Siem Jan 66 Dijk, Herman K. van 64 Pesaran, M. Hashem 63 Kapetanios, George 50 Joshi, Mark S. 46 Tsionas, Efthymios G. 45 Reed, W. Robert 36 Casarin, Roberto 31 Dufour, Jean-Marie 31 McAleer, Michael 31 Ravazzolo, Francesco 27 Schorfheide, Frank 27 Westerlund, Joakim 26 Koop, Gary 23 Chudik, Alexander 22 Kleijnen, Jack P. C. 22 Pfaffermayr, Michael 22 Baltagi, Badi H. 21 Chiarella, Carl 21 Grassi, Stefano 21 Lucas, André 21 Stentoft, Lars 21 Yamagata, Takashi 21 Asai, Manabu 20 Hoogerheide, Lennart 20 Kitagawa, Toru 20 Lesage, James P. 20 Martin, Gael M. 20 Zhang, Xibin 20 Belomestny, Denis 19 Bos, Charles S. 19 Chib, Siddhartha 19 Kilian, Lutz 19 Lechner, Michael 19 Urga, Giovanni 19 Dijk, Dick van 18 Herbst, Edward P. 18 Nason, James Michael 18 Schoenmakers, John 18 Frühwirth-Schnatter, Sylvia 17
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Institution
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National Bureau of Economic Research 43 International Monetary Fund (IMF) 32 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 21 Nationalekonomiska Institutionen, Ekonomihögskolan 13 Centre for Analytical Finance <Århus> 12 Ekonomiska forskningsinstitutet <Stockholm> 10 Agricultural and Applied Economics Association - AAEA 9 Department of Economics, University of Victoria 8 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 8 Tinbergen Instituut 8 EconWPA 7 Finance Discipline Group, Business School 7 HAL 7 Institut für Schweizerisches Bankwesen <Zürich> 7 Lunds Universitet / Nationalekonomiska Institutionen 7 Queen Mary College / Department of Economics 7 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 7 European Association of Agricultural Economists - EAAE 6 Tinbergen Institute 6 Faculty of Economics, University of Cambridge 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 University of Exeter / Department of Economics 5 Arbeitskreis Quantitative Steuerlehre 4 Deutsche Bundesbank 4 Econometrisch Instituut <Rotterdam> 4 Economics Department, Queen's University 4 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 4 Institute for the Study of Labor (IZA) 4 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 University of Canterbury / Dept. of Economics and Finance 4 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 4 de Nederlandsche Bank 4 Aarhus Universitet / Afdeling for Nationaløkonomi 3 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 3 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 3 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 3 International Monetary Fund 3 Max-Planck-Institut für Ökonomik <Jena> / Abteilung Strategische Interaktion 3 National Centre of Competence in Research North South <Bern> 3
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Published in...
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Journal of econometrics 178 Discussion paper / Tinbergen Institute 114 Physica A: Statistical Mechanics and its Applications 103 Economics letters 93 European journal of operational research : EJOR 79 Computational economics 77 Econometric reviews 71 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 70 The journal of computational finance 65 Working paper 61 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 59 CEMMAP working papers / Centre for Microdata Methods and Practice 58 Applied economics 56 Journal of applied econometrics 55 Quantitative finance 55 International journal of theoretical and applied finance 52 Working paper / Department of Econometrics and Business Statistics, Monash University 45 Economic modelling 43 The econometrics journal 42 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 41 Risks : open access journal 39 Applied economics letters 38 Econometrics : open access journal 37 International journal of forecasting 37 Journal of economic dynamics & control 37 NBER Working Paper 36 NBER working paper series 36 IMF Working Papers 35 Insurance / Mathematics & economics 34 Working paper / National Bureau of Economic Research, Inc. 34 Journal of forecasting 33 Journal of risk and financial management : JRFM 32 Energy economics 31 Finance and stochastics 30 Operations research 28 Série des documents de travail / Centre de Recherche en Économie et Statistique 27 Finance research letters 26 Working papers 26 Econometric theory 25 International journal of production research 25
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Source
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ECONIS (ZBW) 6,603 RePEc 832 EconStor 169 USB Cologne (EcoSocSci) 62 Other ZBW resources 62 USB Cologne (business full texts) 35 BASE 28
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Showing 1 - 50 of 7,791
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Innovation by integration of Drum-Buffer-Rope (DBR) method with Scrum-Kanban and use of Monte Carlo simulation for maximizing throughput in agile project management
Mayo-Alvarez, Luis; Del-Aguila-Arcentales, Shyla; … - In: Journal of open innovation : technology, market, and … 10 (2024) 1, pp. 1-25
Highly volatile, uncertain, complex and ambiguous environments (VUCA) complicate and condition project management. With the emergence of agile project management, it is proposed to co-construct it with the client's active participation. Two used agile methodologies are Scrum and Kanban. Scrum is...
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The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility
Adubisi, Obinna Damian; Adubisi, Chidi Emmanuel - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1176-1202
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A Neyman-orthogonalization approach to the incidental parameter problem
Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025
A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parameters, in the sense that their expected first derivative is zero. Such first-order orthogonalization may, however,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191457
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Weak exogeneity, cointegration and stability tests
Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025
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A Neyman-Orthogonalization Approach to the incidental parameter problem
Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025
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Estimation and forecast of carbon emission market volatility based on model averaging method
Wang, Nianling; Wang, Qianchao; Li, Yong - In: Economic modelling 143 (2025), pp. 1-10
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A new look at cross-country aggregation in the global VAR approach : theory and Monte Carlo simulation
Gündüz, Halil İbrahim; Emirmahmutoglu, Furkan; … - In: Computational economics 65 (2025) 1, pp. 21-67
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Bootstrap inference for group factor models
Gonçalves, Sílvia; Koh, Julia; Perron, Benoit - 2025
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Linear regressions with combined data
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191529
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To omit or to include? : integrating the frugal and prolific perspectives on control variable use
Mändli, Fabian; Rönkkö, Mikko - In: Organizational research methods : ORM 28 (2025) 1, pp. 114-137
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Data-driven dynamic police patrolling : an efficient Monte Carlo tree search
Tschernutter, Daniel; Feuerriegel, Stefan - In: European journal of operational research : EJOR 321 (2025) 1, pp. 177-191
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A large Bayesian vector autoregression of the yield curve and macroeconomic variables with no-arbitrage restriction
Kang, Kyu Ho - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015401970
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New control variates for pricing basket options
Jipreze, Kam; Date, Paresh - In: IMA journal of management mathematics 36 (2025) 1, pp. 111-133
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Power to the researchers : calculating power after estimation
Tian, Jiarui; Coupé, Tom; Khatua, Sayak; Reed, W. Robert; … - In: Review of development economics : an essential resource … 29 (2025) 1, pp. 324-358
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Solving economic models with neural networks without backpropagation
Pascal, Julien - 2025
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Fixed effects, lagged dependent variables, and bracketing : cautionary remarks
Demetrescu, Matei; Frondel, Manuel; Tomberg, Lukas; … - 2025
We investigate a bracketing property that purports to yield upper- and lower bounds on the treatment effects obtained from a fixed effects- and lagged dependent variable model. Referencing both analytical results and a Monte Carlo simulation, we explore the conditions under which the bracketing...
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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 allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...
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Evaluation of offshore project development under two fiscal regime in Indonesia
Mardiana, Dwi Atty; Lumi, Alfrets; Erwanto, Edward; … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 6, pp. 28-35
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Response of agriculture production to change of foreign direct investment and public agriculture expenditure in South Africa : a Monte Carlo simulation analysis
Mbiakop, William Djamfa; Khobai, Hlalefang; Fani, Djomo … - In: International journal of economics and financial issues … 13 (2023) 6, pp. 1-7
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Techno-economic and risk assessment of small-scale lng distribution for replacing diesel fuel in Nusa Tenggara Region
Sommeng, Andy Noorsaman; Usman; Kurnianto, Jonathan - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 4, pp. 356-364
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Fertility response to the COVID-19 Pandemic in developed countries – on pre-pandemic fertility forecasts
Deschermeier, Philipp; Greil, Arthur L.; Vanella, Patrizio - In: Comparative population studies : CPoS ; open acess … 48 (2023), pp. 19-46
The COVID-19 pandemic has affected all areas of our lives. Among other outcomes, the academic literature and popular media both discuss the potential effects of the pandemic on fertility. As fertility is an important determinant of population development and population forecasts are important...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014502844
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Empirical Monte Carlo evidence on estimation of timing-of-events models
Lombardi, Stefano; Berg, Gerard J. van den; Vikström, Johan - In: Econometric reviews 44 (2024) 1, pp. 90-118
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Path shadowing Monte Carlo
Morel, Rudy; Bouchaud, Jean-Philippe - In: Quantitative finance 24 (2024) 9, pp. 1199-1225
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Efficient option pricing in the rough Heston model using weak simulation schemes
Bayer, Christian - In: Quantitative finance 24 (2024) 9, pp. 1247-1261
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Testing for fractional cointegration in subsamples by allowing for structural breaks
Kreye, Tom Jannik - 2024
In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015175368
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Linear regressions with combined data
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015175860
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A new generalized family of Weibull-exponentiated half logistic-G distribution with applications
Moakofi, Thatayaone; Oluyede, Broderick; Puoetsile, Agolame - In: Central European journal of economic modelling and … 16 (2024) 2, pp. 125-189
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Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components
Jahan-Parvar, Mohammad R.; Knipp, Charles; Szerszeń, … - 2024
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A Dirichlet process mixture regression model for the analysis of competing risk events
Ungolo, Francesco; Heuvel, Edwin R. van den - In: Insurance : mathematics and economics 116 (2024), pp. 95-113
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Generic framework for a coherent integration of experience and exposure rating in reinsurance
Bernegger, Stefan - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 518-545
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Fast and order-invariant inference in Bayesian VARs with nonparametric shocks
Huber, Florian; Koop, Gary - In: Journal of applied econometrics 39 (2024) 7, pp. 1301-1320
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A comparative study of factor models for different periods of the electricity spot price market
Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - In: Journal of commodity markets : JCM 36 (2024), pp. 1-29
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The finite sample performance of instrumental variable-based estimators of the local average treatment effect when controlling for covariates
Bodory, Hugo; Huber, Martin; Lechner, Michael - In: Computational economics 64 (2024) 4, pp. 2053-2078
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015143991
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Instrument selection in panel data models with endogeneity : a Bayesian approach
Herce, Álvaro; Salvador, Manuel - In: Econometrics : open access journal 12 (2024) 4, pp. 1-35
This paper proposes the use of Bayesian inference techniques to search for and obtain valid instruments in dynamic panel data models where endogenous variables may exist. The use of Principal Component Analysis (PCA) allows for obtaining a reduced number of instruments in comparison to the high...
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Are betting markets inefficient? : evidence from simulations and real data
Winkelmann, David; Ötting, Marius; Deutscher, Christian; … - In: Journal of sports economics 25 (2024) 1, pp. 54-97
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....
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Consistency of the fixed effects Poisson estimator with multiplicative measurement error and unbalanced panels
Hoang, Trang; Wooldridge, Jeffrey M. - In: Economics letters 234 (2024), pp. 1-3
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Calculating government consumption multipliers in New Zealand using an estimated DSGE model
Binning, Andrew - 2024
Fiscal multipliers provide a way of quantifying the GDP gain for a given (discretionary) fiscal policy intervention. I compute government consumption multipliers for New Zealand, in normal times and when monetary policy is constrained at the effective lower bound, using an estimated...
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A new optimisation framework based on Monte Carlo embedded hybrid variant mean-variance mapping considering uncertainties
Norhafidzah Mohd Saad; Sujod, Muhamad Zahim; Mohd … - In: Decision analytics journal 10 (2024), pp. 1-19
This study proposes a new optimisation framework based on Monte Carlo embedded hybrid variant mean-variance mapping (MVMO-SH) optimisation​ for planning Photovoltaic Distributed Generation (PVDG) in the urban Radial Distribution Network (RDN). The Active Power Loss (APL) index was calculated...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014533468
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A sequential importance sampling for estimating multi-period tail risk
Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22
: Plain or crude Monte Carlo simulation (CMC) is commonly applied for estimating multiperiod tail risk measures such as value-at-risk (VaR) and expected shortfall (ES). After fitting a volatility model to the past history of returns and estimating the conditional distribution of innovations, one...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015328727
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Deep learning enhanced volatility modeling with covariates
Hien Thi Nguyen; Nguyen, Hoang; Minh-Ngoc Tran - In: Finance research letters 69 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191477
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Assessing and forecasting the efficiency of Russian banks (2000-2026) : a DEA, panel data, and Monte Carlo simulation approach
Abu-Alrop, Jalal - In: Russian journal of economics 11 (2025) 1, pp. 76-92
This study aims to evaluate the efficiency of Russian banks, identify the factors influencing it based on their size and ownership type, and forecast future trends in the banking sector. The analysis utilized data from 680 Russian banks over the period 2000-2023, employing Data Envelopment...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396377
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Extropy and entropy estimation based on progressive Type-I interval censoring
Qubbaj, Huda H.; Bayoud, Husam A.; Hilow, Hisham M. - In: Statistics in transition : an international journal of … 25 (2024) 3, pp. 83-102
This paper proposes nonparametric estimates for the two information measures extropy and entropy when a progressively Type-I interval censored data is available. Different nonparametric approaches are used for deriving the estimates, including: moments of the empirical cumulative distribution...
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Modifying sequential Monte Carlo optimisation for index tracking to allow for transaction costs
Hamilton-Russell, Leila; Malan O’Callaghan, Thomas; … - In: Risks : open access journal 12 (2024) 10, pp. 1-44
Managing a portfolio whose value closely tracks an index by trading only in a subset of the index constituents involves an NP-hard optimisation problem. In the prior literature, it has been suggested that this problem be solved using sequential Monte Carlo (SMC, also known as particle filter)...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130341
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Speeding up the Euler scheme for killed diffusions
Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130359
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Advanced financial market forecasting : integrating Monte Carlo simulations with ensemble Machine Learning models
Deep, Akash - In: Quantitative finance and economics 8 (2024) 2, pp. 286-314
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Bus fleet decarbonization under macroeconomic and technological uncertainties : a real options approach to support decision-making
Avenali, Alessandro; De Santis, Daniele; Giagnorio, Mirko; … - In: Transportation research : an international journal 190 (2024), pp. 1-17
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015097240
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First and second generation lookback and barrier options : enhancing pricing accuracy through Conditional Monte Carlo
Giribone, Pier Giuseppe; Tropiano, Federico - In: Risk management magazine 19 (2024) 3, pp. 4-27
This paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods, introduced by Babsiri and Noel in 1998. Path dependent...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371430
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An R package for nonparametric inference on dynamic populations with infinitely many types
Ascolani, Filippo; Damato, Stefano; Ruggiero, Matteo - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371979
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Bayesian modelling of VAR precision matrices using stochastic block networks
Huber, Florian; Koop, Gary; Marcellino, Massimiliano; … - 2024
Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done but, in the vast majority of cases, without considering the network structure of the shocks and by placing the prior...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015395756
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