Search Results - subject:"Monte Carlo Simulation"

Estimation of an order book dependent hawkes process for large datasets

Mucciante, Luca; Sancetta, Alessio - In: Journal of financial econometrics 22 (2024) 4, pp. 1098-1129

Persistent link: https://www.econbiz.de/10015338768

Measures of model risk for continuous-time finance models

Lazar, Emese; Qi, Shuyuan; Tunaru, Radu - In: Journal of financial econometrics 22 (2024) 5, pp. 1456-1481

Persistent link: https://www.econbiz.de/10015338808

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

Deep learning enhanced volatility modeling with covariates

Hien Thi Nguyen; Nguyen, Hoang; Minh-Ngoc Tran - In: Finance research letters 69 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015191477

Empirical Monte Carlo evidence on estimation of timing-of-events models

Lombardi, Stefano; Berg, Gerard J. van den; Vikström, Johan - In: Econometric reviews 44 (2024) 1, pp. 90-118

Persistent link: https://www.econbiz.de/10015196435

Testing for fractional cointegration in subsamples by allowing for structural breaks

Kreye, Tom Jannik - 2024

hypothesis, the tests converge to the supremum of a chi-squared distribution. A Monte Carlo simulation is used to evaluate the …

Persistent link: https://www.econbiz.de/10015175368

Linear regressions with combined data

D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2024

Persistent link: https://www.econbiz.de/10015175860

A comparative study of factor models for different periods of the electricity spot price market

Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - In: Journal of commodity markets : JCM 36 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10015162606

Generic framework for a coherent integration of experience and exposure rating in reinsurance

Bernegger, Stefan - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 518-545

Persistent link: https://www.econbiz.de/10015154558

Fast and order-invariant inference in Bayesian VARs with nonparametric shocks

Huber, Florian; Koop, Gary - In: Journal of applied econometrics 39 (2024) 7, pp. 1301-1320

Persistent link: https://www.econbiz.de/10015156859