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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Monte-Carlo-Simulation"
~subject:"Volatility"
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Monte-Carlo-Simulation
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Bayes-Statistik
78
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46
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McAleer, Michael
10
Dijk, Herman K. van
6
Asai, Manabu
5
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4
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2
Bauwens, Luc
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Bel, Koen
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2
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1
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1
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1
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11
Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2017
-
Revised: February 2017
Persistent link: https://www.econbiz.de/10011659216
Saved in:
12
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
13
Realized stochastic volatility models with generalized Gegenbauer long memory
Asai, Manabu
;
McAleer, Michael
;
Peiris, Shelton
-
2017
Persistent link: https://www.econbiz.de/10011742720
Saved in:
14
Modelling extreme claims via composite models and threshold selection methods
Wang, Yinzhi
;
Hobæk Haff, Ingrid
;
Huseby, Arne
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 257-268
Persistent link: https://www.econbiz.de/10012242026
Saved in:
15
Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong
;
Li, Hua
;
McAleer, Michael
;
Wong, Wing Keung
-
2016
Persistent link: https://www.econbiz.de/10011477196
Saved in:
16
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448006
Saved in:
17
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011631770
Saved in:
18
Bayesian nonparametric regression models for modeling and predicting healthcare claims
Richardson, Robert
;
Hartman, Brian
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 1-8
Persistent link: https://www.econbiz.de/10011944089
Saved in:
19
A comparative study of pricing approaches for longevity instruments
Leung, Melvern
;
Fung, Man Chung
;
O'Hare, Colin
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 95-116
Persistent link: https://www.econbiz.de/10011929842
Saved in:
20
Parameter estimation in multivariate logit models with many binary choices
Bel, Koen
;
Fok, Dennis
;
Paap, Richard
-
2015
Persistent link: https://www.econbiz.de/10010503419
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