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Disentangling the effect of measures, variants, and vaccines on SARS-CoV-2 infections in England : a dynamic intensity model
Boldea, Otilia
;
Cornea-Madeira, Adriana
;
Madeira, João
- In:
The econometrics journal
26
(
2023
)
3
,
pp. 444-466
Persistent link: https://www.econbiz.de/10014391706
Saved in:
2
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
Saved in:
3
Designed quadrature to approximate integrals in maximum simulated likelihood estimation
Bansal, Prateek
;
Keshavarzzadeh, Vahid
;
Guevara, Angelo
; …
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 301-321
Persistent link: https://www.econbiz.de/10013253833
Saved in:
4
A least-squares Monte Carlo approach to the estimation of enterprise risk
Ha, Hongjun
;
Bauer, Daniel
- In:
Finance and stochastics
26
(
2022
)
3
,
pp. 417-459
Persistent link: https://www.econbiz.de/10013440231
Saved in:
5
Estimation of dynamic models of recurrent events with censored data
Lee, Sanghyeok
;
Gørgens, Tue
- In:
The econometrics journal
24
(
2021
)
2
,
pp. 199-224
Persistent link: https://www.econbiz.de/10012594987
Saved in:
6
Online estimation of DSGE models
Cai, Michael
;
Del Negro, Marco
;
Herbst, Edward P.
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. C33-C58
Persistent link: https://www.econbiz.de/10012504440
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7
Panel kink threshold regression model with a covariate-dependent threshold
Yang, Lixiong
;
Zhang, Chunli
;
Lee, Chingnun
;
Chen, I-Po
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 462-481
Persistent link: https://www.econbiz.de/10012620718
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8
Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel
;
Pimentel, Isaque
;
Warin, Xavier
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 633-675
Persistent link: https://www.econbiz.de/10012518073
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9
Chebyshev interpolation for parametric option pricing
Gaß, Maximilian
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 701-731
Persistent link: https://www.econbiz.de/10011945899
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10
Continuous-time perpetuities and time reversal of diffusions
Kardaras, Constantinos
;
Robertson, Scott
- In:
Finance and stochastics
21
(
2017
)
1
,
pp. 65-110
Persistent link: https://www.econbiz.de/10011944065
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11
Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.
;
Xia, Yuan
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
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12
A class of indirect inference estimators : higher-order asymptotics and approximate bias correction
Arvanitis, Stelios
;
Dēmos, Antōnēs A.
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 200-241
Persistent link: https://www.econbiz.de/10011378482
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13
Confidence sets for the break date based on optimal tests
Kurozumi, Eiji
;
Yamamoto, Yohei
- In:
The econometrics journal
18
(
2015
)
3
,
pp. 412-435
Persistent link: https://www.econbiz.de/10011473814
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14
Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 56-82
Persistent link: https://www.econbiz.de/10010498759
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15
Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
Zanger, Daniel Z.
- In:
Finance and stochastics
17
(
2013
)
3
,
pp. 503-534
Persistent link: https://www.econbiz.de/10009756026
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16
Multilevel dual approach for pricing American style derivates
Belomestny, Denis
;
Schoenmakers, John
;
Dickmann, Fabian
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 717-742
Persistent link: https://www.econbiz.de/10010190883
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17
Gamma expansion of the Heston stochastic volatility model
Glasserman, Paul
;
Kim, Kyoung-kuk
- In:
Finance and stochastics
15
(
2011
)
2
,
pp. 267-296
Persistent link: https://www.econbiz.de/10009159098
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18
Unbiased and efficient Greeks of financial options
Lyuu, Yuh-dauh
;
Teng, Huei-wen
- In:
Finance and stochastics
15
(
2011
)
1
,
pp. 141-181
Persistent link: https://www.econbiz.de/10008824129
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19
Dual pricing of multi-exercise options under volume constraints
Bender, Christian
- In:
Finance and stochastics
15
(
2011
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10008824146
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20
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D.
- In:
The econometrics journal
14
(
2011
)
2
,
pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
Saved in:
21
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Christensen, Kim
;
Podolskij, Mark
;
Vetter, Mathias
- In:
Finance and stochastics
13
(
2009
)
2
,
pp. 239-268
Persistent link: https://www.econbiz.de/10003939513
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22
Pricing options under stochastic volatility : a power series approach
Antonelli, Fabio
;
Scarlatti, Sergio
- In:
Finance and stochastics
13
(
2009
)
2
,
pp. 269-303
Persistent link: https://www.econbiz.de/10003939521
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23
Quasi-Monte Carlo methods with applications in finance
L'Ecuyer, Pierre
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 307-349
Persistent link: https://www.econbiz.de/10003899308
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24
Adjoint-based Monte Carlo calibration of financial market models
Kaebe, C.
;
Maruhn, J. H.
;
Sachs, Ekkehard
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 351-379
Persistent link: https://www.econbiz.de/10003899315
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25
On irregular functionals of SDEs and the Euler scheme
Avikainen, Rainer
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 381-401
Persistent link: https://www.econbiz.de/10003899316
Saved in:
26
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.
;
Higham, Desmond J.
;
Mao, Xuerong
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 403-413
Persistent link: https://www.econbiz.de/10003899321
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27
A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
Ninomiya, Mariko
;
Ninomiya, Syoiti
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 415-443
Persistent link: https://www.econbiz.de/10003899325
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28
Basket CDS pricing with interacting intensities
Zheng, Harry
;
Jiang, Lishang
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 445-469
Persistent link: https://www.econbiz.de/10003899327
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29
Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René
;
Fouque, Jean-Pierre
;
Vestal, Douglas
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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30
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise
;
Dufour, Jean-Marie
- In:
The econometrics journal
12
(
2009
),
pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
Saved in:
31
Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors : the case of stationary and non-stationary...
Baltagi, Badi H.
;
Kao, Chihwa
;
Liu, Long
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 554-572
Persistent link: https://www.econbiz.de/10003802390
Saved in:
32
Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
Sandberg, Rickard
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 638-647
Persistent link: https://www.econbiz.de/10003802469
Saved in:
33
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong
;
Glasserman, Paul
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
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34
Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo
;
Robertson, Scott
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
Saved in:
35
How useful are tests for uni-root in distinguishing unit-root processes from stationary but non-linear processes?
Choi, Chi-young
;
Moh, Young-kyu
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 82-112
Persistent link: https://www.econbiz.de/10003451749
Saved in:
36
Minimum distance estimation of stationary and non-stationary ARFIMA processes
Mayoral, Laura
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 124-148
Persistent link: https://www.econbiz.de/10003451751
Saved in:
37
Semiparametric competing risks analysis
Canals-Cerdá, José
;
Gurmu, Shiferaw
- In:
The econometrics journal
10
(
2007
)
2
,
pp. 193-215
Persistent link: https://www.econbiz.de/10003559943
Saved in:
38
Additive and multiplicative duals for American option pricing
Chen, Nan
;
Glasserman, Paul
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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39
Simulation-based tests for heteroskedasticity in linear regression models : some further results
Godfrey, L. G.
;
Orme, Chris D.
;
Silva, João Santos
- In:
The econometrics journal
9
(
2006
)
1
,
pp. 76-97
Persistent link: https://www.econbiz.de/10003320202
Saved in:
40
Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia
;
Schoenmakers, John
- In:
Finance and stochastics
10
(
2006
)
1
,
pp. 27-49
Persistent link: https://www.econbiz.de/10003234943
Saved in:
41
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano
;
Alfonsi, Aurélien
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 29-42
Persistent link: https://www.econbiz.de/10002497060
Saved in:
42
Moment approximation for least-squares estimators in dynamic regression models with a unit root
Kiviet, J. F.
;
Phillips, Garry D. A.
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 115-142
Persistent link: https://www.econbiz.de/10003018790
Saved in:
43
Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
Raggi, Davide
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 235-250
Persistent link: https://www.econbiz.de/10003018956
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44
On the Malliavin approach to Monte Carlo approximation of conditional expectations
Bouchard, Bruno
;
Ekeland, Ivar
;
Touzi, Nizar
- In:
Finance and stochastics
8
(
2004
)
1
,
pp. 45-71
Persistent link: https://www.econbiz.de/10001910692
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45
Two-stage quantile regression when the first stage is based on quantile regression
Kim, Tae-hwan
;
Muller, Christophe
- In:
The econometrics journal
7
(
2004
)
1
,
pp. 218-231
Persistent link: https://www.econbiz.de/10002122077
Saved in:
46
Numerical solution of jump-diffusion LIBOR market models
Glasserman, Paul
;
Merener, Nicolas
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10001724635
Saved in:
47
An investigation of tests for linearity and the accuacy of likelihood based inference using random fields
Dahl, Christian M.
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 263-284
Persistent link: https://www.econbiz.de/10001713291
Saved in:
48
Multinomial probit estimation without nuisance parameters
Breslaw, Jon A.
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 417-434
Persistent link: https://www.econbiz.de/10001713312
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49
An analysis of a least squares regression method for American option pricing
Clément, Emmanuelle
;
Lamberton, Damien
;
Protter, Philip
- In:
Finance and stochastics
6
(
2002
)
4
,
pp. 449-471
Persistent link: https://www.econbiz.de/10001702781
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50
On Monte Carlo estimation of relative power
Paruolo, Paolo
- In:
The econometrics journal
5
(
2002
)
1
,
pp. 65-75
Persistent link: https://www.econbiz.de/10001683691
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