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~isPartOf:"Journal of economic dynamics & control"
~subject:"Agent-based modeling"
~subject:"Bayes-Statistik"
~subject:"Option pricing theory"
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Search: subject_exact:"Steady-state distribution of Markov chains"
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Agent-based modeling
Bayes-Statistik
Option pricing theory
Markov chain
69
Markov-Kette
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Theorie
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Barde, Sylvain
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Bo, Lijun
1
Chan, Joshua
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Damgaard, Anders
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Dijk, Dick van
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Gaujal, Bruno
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Gulyás, László
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Tang, Dan
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Woźniak, Tomasz
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Zabelina, Margarita
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Journal of economic dynamics & control
Journal of econometrics
35
International journal of theoretical and applied finance
30
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
27
European journal of operational research : EJOR
20
Discussion paper / Tinbergen Institute
16
Insurance / Mathematics & economics
15
Quantitative finance
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Computational economics
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Energy economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working papers
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Economic modelling
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Finance research letters
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International journal of forecasting
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Working paper
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Econometric reviews
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Finance and stochastics
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Journal of forecasting
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Journal of risk and financial management : JRFM
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Journal of the American Statistical Association : JASA
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Mathematical finance : an international journal of mathematics, statistics and financial theory
8
Working papers in economics and statistics
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Annals of finance
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Econometric Institute research papers
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Economics letters
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Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
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The North American journal of economics and finance : a journal of financial economics studies
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Applied mathematical finance
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Asia-Pacific financial markets
6
Journal of applied econometrics
6
Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research
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Quantitative marketing and economics : QME
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Review of derivatives research
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Sveriges Riksbank working paper series
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The journal of futures markets
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1
Speculative bubbles in present-value models : A Bayesian Markov-switching state space approach
Chan, Joshua
;
Santi, Caterina
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012668503
Saved in:
2
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut
;
Woźniak, Tomasz
- In:
Journal of economic dynamics & control
113
(
2020
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012502522
Saved in:
3
Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
Barde, Sylvain
- In:
Journal of economic dynamics & control
111
(
2020
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012501413
Saved in:
4
Macroeconomic disasters and the equity premium puzzle : are emerging countries riskier?
Horvath, Jaroslav
- In:
Journal of economic dynamics & control
112
(
2020
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012502310
Saved in:
5
Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas
- In:
Journal of economic dynamics & control
91
(
2018
),
pp. 391-408
Persistent link: https://www.econbiz.de/10011974212
Saved in:
6
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun
;
Tang, Dan
;
Wang, Yongjin
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
Saved in:
7
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
8
Pricing external barrier options in a regime-switching model
Kim, Jerim
;
Kim, Jeongsim
;
Yoo, Hyun Joo
;
Kim, Bara
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
Saved in:
9
On the stability of Calvo-style price-setting behavior
Lhuissier, Stéphane
;
Zabelina, Margarita
- In:
Journal of economic dynamics & control
57
(
2015
),
pp. 77-95
Persistent link: https://www.econbiz.de/10011574597
Saved in:
10
Validating an agent-based model of the Zipf's Law : a discrete Markov-chain approach
Gaujal, Bruno
;
Gulyás, László
;
Mansury, Yuri
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 38-49
Persistent link: https://www.econbiz.de/10010424323
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