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~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Quantitative finance"
~subject:"Estimation theory"
~subject:"Monte-Carlo-Simulation"
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Estimation theory
Monte-Carlo-Simulation
Monte Carlo simulation
93
Bayes-Statistik
76
Bayesian inference
76
Theorie
68
Theory
68
Estimation
51
Schätzung
51
Forecasting model
33
Prognoseverfahren
33
Option pricing theory
27
Optionspreistheorie
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Time series analysis
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Schätztheorie
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Simulation
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Stochastischer Prozess
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Markov chain
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Markov-Kette
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Volatility
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Volatilität
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Portfolio selection
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Monte Carlo
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Regression analysis
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Regressionsanalyse
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Bayer, Christian
5
Tempone, Raúl
3
Ben Hammouda, Chiheb
2
Biørn, Erik
2
Bunn, Derek W.
2
Chen, Qian
2
Funahashi, Hideharu
2
Gerlach, Richard
2
Sephton, Peter S.
2
Sit, Tony
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Tsiotas, Georgios
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Wang, Chao
2
Wang, Xiaoqun
2
Wong, Hoi Ying
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Afkhami, Mohamad
1
Alexander, Carol
1
Auster, Johan
1
Ben Omrane, Walid
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Bettin, Giulia
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Bosserhoff, Frank
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Brzezinski, Michal
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Busetti, Fabio
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Caivano, Michele
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Calzolari, Giorgio
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Carrion i Silvestre, Josep Lluís
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Chen, An
1
Chen, Junyao
1
Chen, Wilson Ye
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Chen, Yi-Chi
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Chronopoulou, Alexandra
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Clements, Kenneth W.
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Coe, Patrick J.
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Csabai, István
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Cui, Guowei
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Dakos, Michael
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Damien, Paul
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Das, Samarjit
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Ditzen, Jan
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Quantitative finance
Journal of econometrics
182
Discussion paper / Tinbergen Institute
100
Economics letters
82
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
78
Computational economics
67
European journal of operational research : EJOR
67
Working paper
66
Econometric reviews
64
CEMMAP working papers / Centre for Microdata Methods and Practice
56
The journal of computational finance
56
Journal of applied econometrics
55
Working paper / Department of Econometrics and Business Statistics, Monash University
53
Applied economics
51
Economic modelling
43
International journal of forecasting
43
Journal of economic dynamics & control
43
International journal of theoretical and applied finance
42
NBER Working Paper
38
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
37
The econometrics journal
37
NBER working paper series
36
Journal of the American Statistical Association : JASA
35
Risks : open access journal
35
Working paper / National Bureau of Economic Research, Inc.
35
Applied economics letters
32
Journal of risk and financial management : JRFM
32
Insurance / Mathematics & economics
31
Série des documents de travail / Centre de Recherche en Économie et Statistique
31
Discussion paper series / IZA
28
Econometrics : open access journal
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Energy economics
28
Finance and stochastics
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International journal of production research
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Journal of forecasting
26
Working papers
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Econometric theory
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Finance research letters
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ECONIS (ZBW)
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
3
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
4
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte
Carlo
methods for efficient option pricing
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Tempone, Raúl
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 209-227
Persistent link: https://www.econbiz.de/10014232621
Saved in:
5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
6
Deep weighted Monte
Carlo
: a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor
;
Fáth, Gábor
;
Csabai, István
; …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 615-629
Persistent link: https://www.econbiz.de/10014304287
Saved in:
7
Simulated Greeks for American options
Letourneau, Pascal
;
Stentoft, Lars
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 653-676
Persistent link: https://www.econbiz.de/10014304303
Saved in:
8
SABR equipped with AI wings
Funahashi, Hideharu
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 229-249
Persistent link: https://www.econbiz.de/10014232624
Saved in:
9
Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li
;
Walker, Stephen G.
;
Damien, Paul
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
Saved in:
10
A fast algorithm for simulation of rough volatility models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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