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  • Search: subject_exact:"Monte-Carlo-Methode"
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Year of publication
Subject
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Monte-Carlo-Simulation 6,607 Monte Carlo simulation 6,508 Theorie 2,964 Theory 2,878 Schätztheorie 1,489 Estimation theory 1,470 Simulation 1,074 Markov-Kette 1,061 Markov chain 1,059 Bayes-Statistik 927 Bayesian inference 911 Schätzung 889 Stochastischer Prozess 884 Stochastic process 866 Estimation 865 Optionspreistheorie 715 Option pricing theory 711 Zeitreihenanalyse 679 Time series analysis 657 Volatilität 635 Volatility 628 Prognoseverfahren 529 Forecasting model 513 Panel 495 Panel study 479 Sampling 404 Stichprobenerhebung 404 Statistischer Test 371 Regression analysis 361 Regressionsanalyse 361 Statistical test 352 USA 300 Portfolio-Management 296 Portfolio selection 292 Statistische Verteilung 290 United States 288 VAR-Modell 284 Statistical distribution 281 VAR model 280 Risikomanagement 271
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Online availability
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Free 2,682 Undetermined 1,534 CC license 133
Type of publication
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Article 3,621 Book / Working Paper 3,147
Type of publication (narrower categories)
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Article in journal 3,340 Aufsatz in Zeitschrift 3,340 Working Paper 1,829 Arbeitspapier 1,686 Graue Literatur 1,669 Non-commercial literature 1,669 Aufsatz im Buch 213 Book section 213 Hochschulschrift 153 Thesis 116 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 17 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 Reprint 3 Accompanied by computer file 2 Elektronischer Datenträger als Beilage 2 Rezension 2 Conference proceedings 1 Einführung 1 Festschrift 1 Guidebook 1 Handbook 1
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Language
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English 6,546 German 181 Undetermined 20 French 13 Spanish 6 Portuguese 2 Croatian 1 Italian 1 Polish 1 Slovak 1
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Author
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Koopman, Siem Jan 71 Dijk, Herman K. van 64 Kapetanios, George 59 Pesaran, M. Hashem 57 Joshi, Mark S. 46 Tsionas, Efthymios G. 45 Reed, W. Robert 34 Casarin, Roberto 33 Dufour, Jean-Marie 32 McAleer, Michael 31 Ravazzolo, Francesco 29 Schorfheide, Frank 27 Hoogerheide, Lennart 26 Koop, Gary 23 Chudik, Alexander 22 Grassi, Stefano 22 Kleijnen, Jack P. C. 22 Lucas, André 22 Baltagi, Badi H. 21 Yamagata, Takashi 21 Asai, Manabu 20 Kitagawa, Toru 20 Kohn, Robert 20 Lesage, James P. 20 Martin, Gael M. 20 Zhang, Xibin 20 Chib, Siddhartha 19 Lechner, Michael 19 Stentoft, Lars 19 Dijk, Dick van 18 Frühwirth-Schnatter, Sylvia 18 Herbst, Edward P. 18 Nason, James Michael 18 Chiarella, Carl 17 Leon-Gonzalez, Roberto 17 Peters, Gareth 17 Pfaffermayr, Michael 17 Strachan, Rodney W. 17 Urga, Giovanni 17 Westerlund, Joakim 17
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Institution
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National Bureau of Economic Research 43 Centre for Analytical Finance <Århus> 12 Ekonomiska forskningsinstitutet <Stockholm> 10 Lunds Universitet / Nationalekonomiska Institutionen 7 Queen Mary College / Department of Economics 7 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 University of Exeter / Department of Economics 5 Econometrisch Instituut <Rotterdam> 4 Institut für Arbeitsmarkt- und Berufsforschung (IAB) 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 University of Canterbury / Dept. of Economics and Finance 4 Aarhus Universitet / Afdeling for Nationaløkonomi 3 National Institute of Economic and Social Research 3 University of Warwick / Department of Economics 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Center for Economic Research <Tilburg> 2 European University Institute / Department of Law 2 Instituto Valenciano de Investigaciones Económicas 2 Judge Institute of Management Studies 2 Københavns Universitet / Økonomisk Institut 2 Nuclear Energy Agency 2 University of British Columbia / Finance Division 2 University of Strathclyde / Department of Economics 2 Université de Montréal / Département de sciences économiques 2 Books on Demand GmbH <Norderstedt> 1 Carleton University / Department of Economics 1 Centre for Growth and Business Cycle Research <Manchester> 1 Centre for Quantitative Economics & Computing 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Columbia University / Graduate School of Business 1 Computer Research Center for Economics and Management Science, National Bureau of Economic Research, inc. 1 Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften 1 Erasmus Research Institute of Management 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 European Central Bank 1 European Commission / Joint Research Centre 1 European Commission / Statistical Office of the European Communities 1 European Society for Opinion and Marketing Research 1 European University Institute / Department of Economics 1 Federal Reserve Bank of St. Louis 1
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Published in...
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Journal of econometrics 178 Discussion paper / Tinbergen Institute 114 Economics letters 92 European journal of operational research : EJOR 78 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 60 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 55 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 Tinbergen Institute Discussion Paper 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 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 29 Série des documents de travail / Centre de Recherche en Économie et Statistique 27 Finance research letters 26 Working papers 26 Econometric theory 25 CAMA working paper series 24 International journal of production research 24
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Source
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ECONIS (ZBW) 6,560 EconStor 144 USB Cologne (EcoSocSci) 55 RePEc 4 OLC EcoSci 3 ArchiDok 2
Showing 1 - 50 of 6,768
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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
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195756
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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...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015404318
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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...
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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...
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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
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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...
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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
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015133043
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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...
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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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A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching
He, Xin-Jiang; Lin, Sha - In: Financial innovation : FIN 10 (2024), pp. 1-23
The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources. Based on this, a novel...
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Nonparametric test for volatility in clustered multiple time series
Barrios, Erniel B.; Redondo, Paolo Victor T. - In: Computational economics 63 (2024) 2, pp. 861-876
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Modeling multiplicative interaction effects in Gaussian structured additive regression models
Aschersleben, Philipp; Granna, Julian; Kneib, Thomas; … - 2024
Gaussian Structured Additive Regression provides a flexible framework for additive decomposition of the expected value with nonlinear covariate effects and time trends, unit- or cluster-specific heterogeneity, spatial heterogeneity, and complex interactions between covariates of different types....
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Multimodal preference heterogeneity in choice-based conjoint analysis : a simulation study
Goeken, Nils; Kurz, Peter; Steiner, Winfried J. - In: Journal of business economics : JBE 94 (2024) 1, pp. 137-185
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L1 regularization for high-dimensional multivariate GARCH models
Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum...
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Small area poverty estimation by Conditional Monte Carlo
Farrell, Niall - 2024
Small area poverty estimates are important for social and economic policy, however the required data are often unavailable. This paper presents a Small Area Estimation (SAE) technique called Conditional Monte Carlo (CMC). CMC provides robust estimates of small area poverty rates, subject to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500422
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