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Search: subject:"Efficient importance sampling"
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efficient importance sampling
19
Efficient Importance Sampling
14
Theorie
11
Sampling
9
Stichprobenerhebung
9
Stochastischer Prozess
9
Efficient importance sampling
7
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
Stochastic process
7
Volatilität
7
Schätzung
6
Zustandsraummodell
6
particle filter
6
Estimation
5
Theory
5
Volatility
5
kernel density approximation
5
Currency crises
4
Current account reversals
4
Discrete dependent variable
4
Estimation theory
4
Panel Data
4
Schätztheorie
4
State space model
4
Treatment Model
4
adaption
4
realized volatility
4
Asymmetric volatility
3
Börsenkurs
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Zeitreihenanalyse
3
dynamic stochastic general equilibrium model
3
long memory
3
measurement errors
3
ARCH model
2
ARCH-Modell
2
Aktienmarkt
2
Behavioral Finance
2
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Free
25
Undetermined
8
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Book / Working Paper
27
Article
12
Other
1
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Article in journal
10
Aufsatz in Zeitschrift
10
Working Paper
9
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
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English
30
Undetermined
10
Author
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Liesenfeld, Roman
9
Dharmarajan, Hariharan
6
DeJong, David Neil
5
Hautsch, Nikolaus
5
Richard, Jean-François
5
Asai, Manabu
4
Aßmann, Christian
4
McAleer, Michael
4
Blazsek, Szabolcs
3
Moura, Guilherme V.
3
Bekierman, Jeremias
2
Gribisch, Bastian
2
Jung, Robert
2
Kukuk, Martin
2
Medeiros, Marcelo C.
2
Nolte, Ingmar
2
Turatti, Douglas Eduardo
2
Voev, Valeri
2
Wang, Shouyang
2
Wu, Xin-Yu
2
Ayala, Astrid
1
BAUWENS, Luc
1
DeJong, David N.
1
Escribano, Alvaro
1
Escribano, Álvaro
1
Grothe, Oliver
1
Guilherme Valle Moura
1
HAUTSCH, Nikolaus
1
Kleppe, Tore Selland
1
Koopman, Siem Jan
1
Li, Yong
1
Lucas, André
1
Ma, Chao-Qun
1
Ma, Chao-qun
1
Marimoutou, Vêlayoudom
1
Medeiros, Marcelo
1
Medeiros, Medeiros, M.C.
1
Moura, Guilherme
1
Moura, Guilherme Valle
1
Richard, Jean-Francois
1
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Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
4
Departamento de Economía, Universidad Carlos III de Madrid
2
Bamberg Economic Research Group on Government and Growth (BERG), Volkswirtschaftslehre
1
Center for Financial Studies
1
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
Department of Economics and Finance, College of Business and Economics
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Institute of Economic Research, Kyoto University
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
1
Økonomisk Institut, Københavns Universitet
1
Česká Národní Banka
1
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Economics Working Paper
4
Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
4
CoFE Discussion Paper
2
Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
AMSE Working Papers
1
BERG Working Paper Series
1
BERG Working Paper Series on Government and Growth
1
CFS Working Paper
1
CFS Working Paper Series
1
CORE Discussion Papers
1
Documentos de Trabajo del ICAE
1
Econometric Institute Research Papers
1
Econometric reviews
1
Economic Modelling
1
Economic modelling
1
Economic research
1
Economics Letters
1
Economics letters
1
Economics working paper
1
FRU Working Papers
1
International review of financial analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
KIER Working Papers
1
SFB 649 Discussion Paper
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SFB 649 Discussion Papers
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Theoretical economics letters
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Working Papers / Česká Národní Banka
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Working Papers in Economics
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RePEc
20
ECONIS (ZBW)
11
EconStor
8
BASE
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11
Assessing the effect of current account and currency crises on economic growth
Aßmann, Christian
-
Bamberg Economic Research Group on Government and …
-
2011
likelihood approach employing
efficient
importance
sampling
is used. The results reveal significant costs in terms of economic …
Persistent link: https://www.econbiz.de/10009018205
Saved in:
12
Estimating stochastic volatility models using realized measures
Bekierman, Jeremias
;
Gribisch, Bastian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
3
,
pp. 279-300
Persistent link: https://www.econbiz.de/10011507527
Saved in:
13
Efficient
importance
sampling
in applied econometrics
Guilherme Valle Moura
-
2010
high-dimensional integration. In the present work, the
Efficient
Importance
Sampling
method developed by Richard and Zhang …
Persistent link: https://www.econbiz.de/10009428978
Saved in:
14
Asymmetry and Long Memory in Volatility Modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Medeiros, M.C.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2010
, and use the
Efficient
Importance
Sampling
technique to estimate the model. As an empirical example, we apply the new model …
Persistent link: https://www.econbiz.de/10010732617
Saved in:
15
Asymmetry and Long Memory in Volatility Modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
Institute of Economic Research, Kyoto University
-
2010
, and use the
Efficient
Importance
Sampling
technique to estimate the model. As an empirical example, we apply the new model …
Persistent link: https://www.econbiz.de/10008671919
Saved in:
16
Efficient likelihood evaluation of state-space representations
DeJong, David Neil
;
Dharmarajan, Hariharan
;
Liesenfeld, …
-
2009
target densities. Construction is achieved via
efficient
importance
sampling
, and approximating densities are adapted to …
Persistent link: https://www.econbiz.de/10010298827
Saved in:
17
Efficient likelihood evaluation of state-space representations
DeJong, David Neil
;
Dharmarajan, Hariharan
;
Liesenfeld, …
-
Institut für Volkswirtschaftslehre, …
-
2009
target densities. Construction is achieved via
efficient
importance
sampling
, and approximating densities are adapted to …
Persistent link: https://www.econbiz.de/10005059009
Saved in:
18
Efficient Likelihood Evaluation of State-Space Representations
DeJong, David N.
;
Dharmarajan, Hariharan
;
Liesenfeld, Roman
-
Česká Národní Banka
-
2009
targeted integrands are constructed via
efficient
importance
sampling
. Resulting likelihood approximations are continuous …
Persistent link: https://www.econbiz.de/10009645625
Saved in:
19
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Saved in:
20
A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu
;
Zhou, Hai-Lin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 483-500
Persistent link: https://www.econbiz.de/10011339413
Saved in:
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