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~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Quantitative finance"
~subject:"Monte-Carlo-Simulation"
~subject:"Volatility"
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Monte-Carlo-Simulation
Volatility
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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96
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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
2
Wang, Chao
2
Wang, Xiaoqun
2
Wong, Hoi Ying
2
Afkhami, Mohamad
1
Alexander, Carol
1
Auster, Johan
1
Ben Omrane, Walid
1
Bettin, Giulia
1
Bosserhoff, Frank
1
Brzezinski, Michal
1
Calzolari, Giorgio
1
Carrion i Silvestre, Josep Lluís
1
Chen, An
1
Chen, Junyao
1
Chen, Wilson Ye
1
Chronopoulou, Alexandra
1
Clements, Kenneth W.
1
Clements, Michael P.
1
Coe, Patrick J.
1
Csabai, István
1
Cui, Guowei
1
Dakos, Michael
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Damien, Paul
1
Das, Samarjit
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Ditzen, Jan
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Fernández-Vázquez, Esteban
1
Fingleton, Bernard
1
Fischer, Christoph
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Quantitative finance
Journal of econometrics
151
Discussion paper / Tinbergen Institute
101
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
74
Economics letters
71
Working paper
70
Computational economics
65
Econometric reviews
62
European journal of operational research : EJOR
62
The journal of computational finance
55
Applied economics
52
Journal of applied econometrics
52
CEMMAP working papers / Centre for Microdata Methods and Practice
50
International journal of theoretical and applied finance
44
Working paper / Department of Econometrics and Business Statistics, Monash University
41
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
40
International journal of forecasting
39
Energy economics
38
Journal of economic dynamics & control
38
CAMA working paper series
37
Economic modelling
37
The econometrics journal
35
Working paper / National Bureau of Economic Research, Inc.
34
Applied economics letters
32
NBER Working Paper
32
Risks : open access journal
32
Journal of risk and financial management : JRFM
31
NBER working paper series
31
Finance and stochastics
28
Série des documents de travail / Centre de Recherche en Économie et Statistique
27
Econometrics : open access journal
26
Journal of forecasting
26
Insurance / Mathematics & economics
25
Working papers
24
Finance research letters
23
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
23
Econometric Institute research papers
22
Journal of the American Statistical Association : JASA
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Oxford bulletin of economics and statistics
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ECONIS (ZBW)
96
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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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