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Search: subject:"importance sampling."
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Subject
All
importance sampling
197
Importance sampling
146
Stichprobenerhebung
113
Sampling
112
Monte Carlo simulation
103
Theorie
93
Monte-Carlo-Simulation
88
Theory
68
Bayesian inference
58
Stochastischer Prozess
58
Stochastic process
51
Simulation
50
Statistische Verteilung
41
Importance Sampling
40
Schätztheorie
40
Bayes-Statistik
39
Estimation theory
38
Maximum likelihood estimation
37
Maximum-Likelihood-Schätzung
35
Markov chain Monte Carlo
33
Statistical distribution
30
Risikomaß
29
Option pricing theory
27
Optionspreistheorie
27
Risk measure
27
Prognoseverfahren
26
Volatilität
26
Zeitreihenanalyse
25
Zustandsraummodell
25
Stochastic volatility
24
Markov chain
23
Markov-Kette
23
Risikomanagement
23
Schätzung
23
Algorithmus
22
Risk management
22
Volatility
22
Metropolis-Hastings algorithm
21
Forecasting model
20
Estimation
19
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Online availability
All
Free
291
Undetermined
138
CC license
8
Type of publication
All
Book / Working Paper
285
Article
183
Other
2
Type of publication (narrower categories)
All
Working Paper
120
Article in journal
79
Aufsatz in Zeitschrift
79
Graue Literatur
56
Non-commercial literature
56
Arbeitspapier
54
Article
7
Hochschulschrift
4
Thesis
3
research-article
2
Aufsatz im Buch
1
Book section
1
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Language
All
English
249
Undetermined
220
French
1
Author
All
Koopman, Siem Jan
68
Hoogerheide, Lennart
46
Dijk, Herman K. van
32
Liesenfeld, Roman
23
van Dijk, Herman K.
22
Ardia, David
20
Lucas, André
20
Richard, Jean-François
17
Opschoor, Anne
16
Basturk, Nalan
13
Mesters, Geert
12
Ridder, Ad
12
Hoogerheide, Lennart F.
11
Grassi, Stefano
10
Asai, Manabu
9
Marin, Jean-Michel
9
McAleer, Michael
9
Robert, Christian P.
9
Scharth, Marcel
9
Boots, Nam Kyoo
8
Bos, Charles S.
8
Lit, Rutger
8
Ooms, Marius
8
Borowska, Agnieszka
7
Dijk, H.K. van
7
Koopman, S.J.
7
Lucas, Andre
7
Moura, Guilherme V.
7
Paap, Richard
7
Shahabuddin, Perwez
7
Bos, C.S.
6
Dharmarajan, Hariharan
6
Kleppe, Tore Selland
6
Mandjes, Michel
6
Yu, Jun
6
DeJong, David Neil
5
Dufays, Arnaud
5
Hautsch, Nikolaus
5
Aßmann, Christian
4
Banachewicz, Konrad
4
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Institution
All
Tinbergen Instituut
33
Tinbergen Institute
19
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
10
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
10
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
9
Erasmus University Rotterdam, Econometric Institute
7
Université Paris-Dauphine (Paris IX)
6
HAL
4
School of Economics, Singapore Management University
4
Society for Computational Economics - SCE
4
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
3
Université Paris-Dauphine
3
Departamento de Economía, Universidad Carlos III de Madrid
2
Departement für Quantitative Wirtschaftsforschung, Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät
2
Department of Economics and Finance, College of Business and Economics
2
Department of Economics, Oxford University
2
Dipartimento di Economia e Management, Università degli Studi di Trento
2
EconWPA
2
Institute of Economic Research, Kyoto University
2
Tilburg University, Center for Economic Research
2
Bamberg Economic Research Group on Government and Growth (BERG), Volkswirtschaftslehre
1
Center for Financial Studies
1
Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät
1
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
1
Cowles Foundation for Research in Economics, Yale University
1
Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials
1
Department of Economics, Rutgers University-New Brunswick
1
Department of Economics, University of Warwick
1
Deutsche Bundesbank
1
Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
1
Duke University, Department of Economics
1
Economics Group, Nuffield College, University of Oxford
1
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Faculteit Economie en Bedrijfskunde, Universiteit Gent
1
Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia
1
Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
1
International Institute of Social and Economic Sciences
1
Nationale Bank van België/Banque national de Belqique (BNB)
1
School of Economics and Management, University of Aarhus
1
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Published in...
All
Tinbergen Institute Discussion Papers
52
Tinbergen Institute Discussion Paper
39
Discussion paper / Tinbergen Institute
37
Computational Statistics & Data Analysis
18
Econometric Institute Research Papers
10
Economics Working Paper
10
Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
10
MPRA Paper
9
Management Science
9
Econometric Institute Report
7
Economics Papers from University Paris Dauphine
6
Annals of the Institute of Statistical Mathematics
5
Econometric reviews
5
Journal of Econometrics
5
Risks : open access journal
5
Computational Statistics
4
Econometrics
4
Insurance / Mathematics & economics
4
International Journal of Theoretical and Applied Finance (IJTAF)
4
Operations research
4
Working Paper
4
Working Papers / School of Economics, Singapore Management University
4
Working paper / Department of Econometrics and Business Statistics, Monash University
4
CORE Discussion Papers
3
Computational economics
3
Econometric Reviews
3
European journal of operational research : EJOR
3
International journal of theoretical and applied finance
3
Journal of econometrics
3
Open Access publications from Université Paris-Dauphine
3
Psychometrika
3
Risks
3
Statistical Applications in Genetics and Molecular Biology
3
Statistics & Probability Letters
3
The journal of computational finance
3
Bozen economics & management paper series : BEMPS
2
CoFE Discussion Paper
2
Computational Management Science
2
Computing in Economics and Finance 2002
2
DQE Working Papers
2
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Source
All
RePEc
250
ECONIS (ZBW)
139
EconStor
73
BASE
5
Other ZBW resources
3
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221
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230
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470
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221
Exact tail asymptotics of the supremum attained by a Lévy process
Asghari, N.M.
;
Dȩbicki, K.
;
Mandjes, M.
- In:
Statistics & Probability Letters
96
(
2015
)
C
,
pp. 180-184
importance
sampling
algorithm to estimate the rare-event probabilities under consideration. …
Persistent link: https://www.econbiz.de/10011115946
Saved in:
222
A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
Gatto, Riccardo
- In:
Statistics & Probability Letters
99
(
2015
)
C
,
pp. 177-184
This article provides an
importance
sampling
algorithm for computing the probability of ruin with recuperation of a …
Persistent link: https://www.econbiz.de/10011208320
Saved in:
223
A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
Sun, Libo
;
Lee, Chihoon
;
Hoeting, Jennifer A.
- In:
Computational Statistics & Data Analysis
84
(
2015
)
C
,
pp. 54-67
. We propose an
importance
sampling
approach with an auxiliary parameter when the transition density is unknown. We embed …
Persistent link: https://www.econbiz.de/10011191013
Saved in:
224
Stochastic volatility and leverage: Application to a panel of S&P500 stocks
Ozturk, Serda Selin
;
Richard, Jean-Francois
- In:
Finance Research Letters
12
(
2015
)
C
,
pp. 67-76
by maximum likelihood using an Efficient
Importance
Sampling
method which produces numerically highly accurate estimates …
Persistent link: https://www.econbiz.de/10011191200
Saved in:
225
On variance reduction of mean-CVaR Monte Carlo estimators
Kozmík, Václav
- In:
Computational Management Science
12
(
2015
)
2
,
pp. 221-242
variance reduction scheme based on
importance
sampling
is proposed. We provide analytical solution for random variables based …
Persistent link: https://www.econbiz.de/10011241047
Saved in:
226
A new variance reduction technique for estimating value-at-risk
Korn, Ralf
;
Pupashenko, Mykhailo
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
Saved in:
227
On variance reduction of mean-CVaR Monte Carlo estimators
Kozmík, Václav
- In:
Computational Management Science : CMS
12
(
2015
)
2
,
pp. 221-242
Persistent link: https://www.econbiz.de/10010513412
Saved in:
228
A risk model with renewal shot-noise Cox process
Dassios, Angelos
;
Jang, Jiwook
;
Zhao, Hongbiao
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 55-65
Persistent link: https://www.econbiz.de/10011422868
Saved in:
229
Importance
sampling
for jump processes and applications to finance
Badouraly Kassim, Laetitia
;
Lelong, Jérôme
; …
- In:
The journal of computational finance
19
(
2015/2016
)
2
,
pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
Saved in:
230
Green technology adoption : an empirical study of the Southern California garment cleaning industry
Bollinger, Bryan
- In:
Quantitative marketing and economics : QME
13
(
2015
)
4
,
pp. 319-358
Persistent link: https://www.econbiz.de/10011445831
Saved in:
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