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  • Search: subject:"MONTE CARLO SIMULATION"
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Year of publication
Subject
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Monte Carlo simulation 7,309 Monte-Carlo-Simulation 6,711 Theorie 2,925 Theory 2,899 Schätztheorie 1,483 Estimation theory 1,474 Simulation 1,094 Markov-Kette 1,067 Markov chain 1,066 Bayesian inference 914 Bayes-Statistik 911 Stochastischer Prozess 878 Schätzung 877 Stochastic process 872 Estimation 869 Optionspreistheorie 720 Option pricing theory 712 Zeitreihenanalyse 662 Time series analysis 657 Volatilität 633 Volatility 629 Prognoseverfahren 517 Forecasting model 515 Panel 485 Panel study 480 Sampling 405 Stichprobenerhebung 405 Regression analysis 362 Regressionsanalyse 362 Statistischer Test 362 Statistical test 353 Portfolio-Management 300 Portfolio selection 295 USA 294 United States 289 Statistische Verteilung 284 VAR-Modell 284 Statistical distribution 282 VAR model 281 Risikomanagement 280
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Online availability
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Free 3,099 Undetermined 2,080 CC license 137
Type of publication
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Article 4,339 Book / Working Paper 3,504 Other 3
Type of publication (narrower categories)
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Article in journal 3,383 Aufsatz in Zeitschrift 3,383 Working Paper 1,822 Arbeitspapier 1,704 Graue Literatur 1,687 Non-commercial literature 1,687 Aufsatz im Buch 213 Book section 213 Hochschulschrift 153 Thesis 132 Article 55 research-article 45 Collection of articles written by one author 22 Conference paper 22 Konferenzbeitrag 22 Sammlung 22 Collection of articles of several authors 20 Sammelwerk 20 Dissertation u.a. Prüfungsschriften 18 Amtsdruckschrift 16 Government document 16 Lehrbuch 15 Case study 14 Fallstudie 14 Aufsatzsammlung 13 Textbook 13 Konferenzschrift 9 Forschungsbericht 7 Systematic review 6 Übersichtsarbeit 6 Bibliografie enthalten 5 Bibliography included 5 Bibliografie 3 Conference Paper 3 Congress Report 3 Reprint 3 conceptual-paper 3 technical-paper 3 Accompanied by computer file 2 Elektronischer Datenträger als Beilage 2
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Language
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English 6,832 Undetermined 758 German 216 French 17 Spanish 13 Portuguese 5 Czech 3 Hungarian 2 Slovak 2 Croatian 1 Italian 1 Polish 1
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Author
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Koopman, Siem Jan 66 Dijk, Herman K. van 64 Pesaran, M. Hashem 63 Kapetanios, George 50 Joshi, Mark S. 46 Tsionas, Efthymios G. 45 Reed, W. Robert 36 Casarin, Roberto 31 Dufour, Jean-Marie 31 McAleer, Michael 31 Ravazzolo, Francesco 27 Schorfheide, Frank 27 Westerlund, Joakim 26 Koop, Gary 23 Chiarella, Carl 22 Chudik, Alexander 22 Kleijnen, Jack P. C. 22 Pfaffermayr, Michael 22 Baltagi, Badi H. 21 Grassi, Stefano 21 Lucas, André 21 Stentoft, Lars 21 Yamagata, Takashi 21 Zhang, Xibin 21 Asai, Manabu 20 Hoogerheide, Lennart 20 Kitagawa, Toru 20 Lesage, James P. 20 Martin, Gael M. 20 Urga, Giovanni 20 Belomestny, Denis 19 Bos, Charles S. 19 Chib, Siddhartha 19 Kilian, Lutz 19 Lechner, Michael 19 Dijk, Dick van 18 Herbst, Edward P. 18 Lang, Stefan 18 Nason, James Michael 18 Schoenmakers, John 18
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Institution
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National Bureau of Economic Research 43 International Monetary Fund (IMF) 32 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 22 Nationalekonomiska Institutionen, Ekonomihögskolan 13 Centre for Analytical Finance <Århus> 12 Ekonomiska forskningsinstitutet <Stockholm> 10 Agricultural and Applied Economics Association - AAEA 9 Department of Economics, University of Victoria 8 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 8 Finance Discipline Group, Business School 8 HAL 8 Tinbergen Instituut 8 EconWPA 7 Institut für Schweizerisches Bankwesen <Zürich> 7 Lunds Universitet / Nationalekonomiska Institutionen 7 Queen Mary College / Department of Economics 7 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 7 European Association of Agricultural Economists - EAAE 6 Tinbergen Institute 6 Faculty of Economics, University of Cambridge 5 Institute for the Study of Labor (IZA) 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 University of Exeter / Department of Economics 5 Arbeitskreis Quantitative Steuerlehre 4 Deutsche Bundesbank 4 Econometrisch Instituut <Rotterdam> 4 Economics Department, Queen's University 4 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 4 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 University of Canterbury / Dept. of Economics and Finance 4 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 4 de Nederlandsche Bank 4 Aarhus Universitet / Afdeling for Nationaløkonomi 3 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 3 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 3 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 3 Institut für Finanzwissenschaft, Fakultät für Volkswirtschaft und Statistik 3 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 3 International Monetary Fund 3
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Published in...
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Journal of econometrics 178 Discussion paper / Tinbergen Institute 114 Physica A: Statistical Mechanics and its Applications 104 Economics letters 93 European journal of operational research : EJOR 79 Computational economics 77 Econometric reviews 71 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 70 The journal of computational finance 65 Working paper 61 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 59 CEMMAP working papers / Centre for Microdata Methods and Practice 58 Applied economics 56 Journal of applied econometrics 56 Quantitative finance 55 International journal of theoretical and applied finance 52 Working paper / Department of Econometrics and Business Statistics, Monash University 45 Economic modelling 43 The econometrics journal 42 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 41 Risks : open access journal 39 Applied economics letters 38 Econometrics : open access journal 37 International journal of forecasting 37 Journal of economic dynamics & control 37 NBER Working Paper 36 NBER working paper series 36 IMF Working Papers 35 Insurance / Mathematics & economics 34 Working paper / National Bureau of Economic Research, Inc. 34 Journal of forecasting 33 Journal of risk and financial management : JRFM 32 Energy economics 31 Finance and stochastics 30 Operations research 28 Série des documents de travail / Centre de Recherche en Économie et Statistique 27 Finance research letters 26 Working papers 26 Econometric theory 25 International journal of production research 25
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Source
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ECONIS (ZBW) 6,615 RePEc 863 EconStor 179 Other ZBW resources 63 USB Cologne (EcoSocSci) 62 USB Cologne (business full texts) 35 BASE 29
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Showing 101 - 110 of 7,846
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Incorporating expert judgment for detecting eelevant factors in social networks undetected by ordinary methods
Pérez-Sánchez, José María; García, María Acosta; … - In: Revista de métodos cuantitativos para la economía y … 38 (2024), pp. 1-13
Information and communications technology (ICT) has potential to complement information sharing bureaus (ISB) Most companies use social networks as communication channels because they can provide significant business benefits. This paper focuses on the impact of social networks in a Spanish...
Persistent link: https://www.econbiz.de/10015332237
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Bayesian modelling of VAR precision matrices using stochastic block networks
Huber, Florian; Koop, Gary; Marcellino, Massimiliano; … - 2024
Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done but, in the vast majority of cases, without considering the network structure of the shocks and by placing the prior...
Persistent link: https://www.econbiz.de/10015395756
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Modifying sequential Monte Carlo optimisation for index tracking to allow for transaction costs
Hamilton-Russell, Leila; Malan O'Callaghan, Thomas; … - In: Risks : open access journal 12 (2024) 10, pp. 1-44
Managing a portfolio whose value closely tracks an index by trading only in a subset of the index constituents involves an NP-hard optimisation problem. In the prior literature, it has been suggested that this problem be solved using sequential Monte Carlo (SMC, also known as particle filter)...
Persistent link: https://www.econbiz.de/10015130341
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Estimation procedures for reliability functions of Kumaraswamy-G Distributions based on Type II Censoring and the sampling scheme of Bartholomew
Chaturvedi, Aditi; Kumar, Surinder - In: Statistics in transition : an international journal of … 23 (2022) 1, pp. 129-152
In this paper, we consider Kumaraswamy-G distributions and derive a Uniformly Minimum Variance Unbiased Estimator (UMVUE) and a Maximum Likelihood Estimator (MLE) of the two measures of reliability, namely R(t) = P(X t) and P = P(X Y ) under Type II censoring scheme and sampling scheme of...
Persistent link: https://www.econbiz.de/10013419376
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Estimation and inference of a partially linear panel threshold spatial model with individual fixed effects
Zhang, Xishu; Wang, Xuanhui; Ye, Azhong - In: Applied economics letters 31 (2024) 21, pp. 2271-2276
Persistent link: https://www.econbiz.de/10015095210
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Impact of climate variables change on the yield of wheat and rice crops in Iran (application of stochastic model based on Monte Carlo simulation)
Javadi, Akram; Ghahremanzadeh, Mohammad; Sassi, Maria; … - In: Computational economics 63 (2024) 3, pp. 983-1000
Persistent link: https://www.econbiz.de/10014546237
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A semi-closed form approximation of arbitrage‑free call option price surface
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457
Persistent link: https://www.econbiz.de/10014549032
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Dynamic spatial Durbin threshold with two-way fixed effects : model, method, and test
Wang, Xuanhui; Zhang, Xishu; Ye, Azhong - In: Applied economics letters 31 (2024) 13, pp. 1166-1171
Persistent link: https://www.econbiz.de/10014558760
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Threshold vector error correction model and transaction cost variation
Machado Junior, Pedro C.; Chung, Chanjin; Ng'ombe, John N. - In: Applied economics 56 (2024) 42, pp. 5058-5071
Persistent link: https://www.econbiz.de/10014560520
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Do methods of estimation matter in detecting outliers and forecasting macroeconomic variables?
Yaqoob, Tanzeela; Maqsood, Arfa - In: Journal of Chinese economic and business studies 22 (2024) 2, pp. 231-252
Persistent link: https://www.econbiz.de/10014566473
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