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  • Search: subject:"Sequential Monte Carlo"
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Year of publication
Subject
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Sequential Monte Carlo 36 Monte-Carlo-Simulation 34 Monte Carlo simulation 33 Bayesian inference 26 Bayes-Statistik 25 Theorie 24 Theory 22 sequential Monte Carlo 18 Density Forecast Combination 14 Prognoseverfahren 14 Markov-Kette 12 Forecasting model 11 Markov chain 11 Zeitreihenanalyse 11 Bayesian Filtering 10 Estimation theory 10 Schätztheorie 10 Schätzung 10 Survey Forecast 10 Estimation 9 Geldpolitik 9 Monetary policy 9 Time series analysis 8 sequential Monte Carlo methods 7 Bayesian filtering 6 Density forecast combination 6 Dynamic equilibrium 6 Dynamisches Gleichgewicht 6 GPU 6 Indeterminacy 6 Inflation 6 particle filter 6 Inflation targeting 5 Inflationssteuerung 5 Matlab 5 Survey forecast 5 USA 5 Volatility 5 Algorithm 4 Algorithmus 4
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Online availability
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Free 81 CC license 2
Type of publication
All
Book / Working Paper 69 Article 12
Type of publication (narrower categories)
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Working Paper 36 Graue Literatur 26 Non-commercial literature 26 Arbeitspapier 23 Article in journal 8 Aufsatz in Zeitschrift 8 Article 3 Thesis 2
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Language
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English 59 Undetermined 22
Author
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Ravazzolo, Francesco 24 Casarin, Roberto 22 Dijk, Herman K. van 16 Billio, Monica 12 van Dijk, Herman K. 9 Grassi, Stefano 7 Haque, Qazi 7 Del Negro, Marco 6 Matlin, Ethan 6 Sarfati, Reca 6 Aastveit, Knut Are 5 Dufays, Arnaud 5 Herbst, Edward P. 5 Cai, Michael 4 Groshenny, Nicolas 4 Schorfheide, Frank 4 Weder, Mark 4 Amisano, Gianni 3 Bognanni, Mark 3 Geweke, John 3 Martin, Gael M. 3 Tristani, Oreste 3 Acharya, Sushant 2 Chen, William 2 Dogra, Keshav 2 Doucet, Arnaud 2 Forbes, Catherine Scipione 2 Gleich, Aidan 2 Goyal, Shlok 2 He, Zhongfang 2 Lee, Donggyu 2 Leung, Patrick 2 Lopes, Hedibert F. 2 McCabe, Brendan Peter Martin 2 Sengupta, Sikata 2 Shephard, Neil 2 Targino, Rodrigo S. 2 West, Mike 2 Wüthrich, Mario V. 2 Ausín, Concepcion 1
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Institution
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Tinbergen Instituut 5 Dipartimento di Economia, Università Ca' Foscari Venezia 3 Norges Bank 2 Ohio State University, Department of Economics 2 Rimini Centre for Economic Analysis (RCEA) 2 Banque de France 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department of Economics, Oxford University 1 Economics Discipline Group, Business School 1 Economics Group, Nuffield College, University of Oxford 1 European Central Bank 1 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit 1 Federal Reserve Bank of Cleveland 1 Finance Discipline Group, Business School 1 Nationale Bank van België/Banque national de Belqique (BNB) 1 School of Economics and Management, University of Aarhus 1 Tinbergen Institute 1 University of Toronto, Department of Economics 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Tinbergen Institute Discussion Paper 6 Tinbergen Institute Discussion Papers 6 Discussion paper / Tinbergen Institute 5 Federal Reserve Bank of Cleveland working paper series 3 Working Paper 3 Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 3 Working paper / Department of Econometrics and Business Statistics, Monash University 3 CAMA working paper series 2 Discussion paper 2 Econometrics 2 Econometrics : open access journal 2 Finance and economics discussion series 2 Risks : open access journal 2 School of Economics working papers / The University of Adelaide, School of Economics 2 Staff reports / Federal Reserve Bank of New York 2 Working Paper / Norges Bank 2 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 2 Working Papers / Ohio State University, Department of Economics 2 Bank of Finland research discussion papers 1 CIRJE discussion papers / F series 1 CREATES Research Papers 1 ECB Working Paper 1 Economic modelling 1 Economics Papers / Economics Group, Nuffield College, University of Oxford 1 Economics Papers from University Paris Dauphine 1 Economics Series Working Papers / Department of Economics, Oxford University 1 International journal of finance & economics : IJFE 1 Journal of Forecasting 1 NBB Working Paper 1 PRI discussion paper series 1 Research Paper Series / Finance Discipline Group, Business School 1 Risks 1 Scandinavian actuarial journal 1 Serie Research Memoranda 1 Staff Report 1 Staff Reports 1 Statistics and Econometrics Working Papers 1 The Journal of finance and data science : JFDS 1 Working Paper / Federal Reserve Bank of Cleveland 1 Working Paper Research 1
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Source
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ECONIS (ZBW) 34 RePEc 29 EconStor 16 BASE 2
Showing 1 - 10 of 81
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Estimation and forecast of carbon emission market volatility based on model averaging method
Wang, Nianling; Wang, Qianchao; Li, Yong - In: Economic modelling 143 (2025), pp. 1-10
Persistent link: https://www.econbiz.de/10015193412
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Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components
Jahan-Parvar, Mohammad R.; Knipp, Charles; Szerszeń, … - 2024
Persistent link: https://www.econbiz.de/10015271311
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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
sequential Monte Carlo (SMC, also known as particle filter) methods. However, this literature does not take transaction costs …
Persistent link: https://www.econbiz.de/10015130341
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Estimating HANK for central banks
Acharya, Sushant; Chen, William; Del Negro, Marco; … - 2023
Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model …
Persistent link: https://www.econbiz.de/10014480620
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Sequential Monte Carlo samplers to fit and compare insurance loss models
Goffard, Pierre-Olivier - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 765-787
Persistent link: https://www.econbiz.de/10014383968
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Estimating HANK for central banks
Acharya, Sushant; Chen, William; Del Negro, Marco; … - 2023
Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model …
Persistent link: https://www.econbiz.de/10014333331
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Computing bayes : from then 'til now
Martin, Gael M.; Frazier, David T.; Robert, Christian P. - 2022
Persistent link: https://www.econbiz.de/10013494406
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Modelling sustainability efficiency in banking
Tan, Yong; Tsionas, Efthymios G. - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3754-3772
Persistent link: https://www.econbiz.de/10013330756
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Particle rolling mcmc with double-block sampling
Awaya, Naoki; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339020
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Enhanced PD-implied ratings by targeting the credit rating migration matrix
Duan, Jin-Chuan; Li, Shuping - In: The Journal of finance and data science : JFDS 7 (2021), pp. 115-125
A high-quality and granular probability of default (PD) model is on many practical dimensions far superior to any categorical credit rating system. Business adoption of a PD model, however, needs to factor in the long-established business/regulatory conventions built around letter-based credit...
Persistent link: https://www.econbiz.de/10013162875
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