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UTILITY MAXIMIZATION WITH INTE...
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Estimation theory
Utility maximization
197
utility maximization
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150
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126
filtering
125
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Takahashi, Akihiko
3
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2
Koopman, Siem Jan
2
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2
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1
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ECONIS (ZBW)
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Exchange rates forecasting : can jump models combined with macroeconomic fundamentals help?
Bunčák, Tomáš
- In:
Prague economic papers : a bimonthly journal of …
25
(
2016
)
5
,
pp. 527-546
Persistent link: https://www.econbiz.de/10011643619
Saved in:
2
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
-
This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
Saved in:
3
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
Persistent link: https://www.econbiz.de/10012813680
Saved in:
4
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
-
Revised in August, November 2021, January and February 2022
Persistent link: https://www.econbiz.de/10013335002
Saved in:
5
Asymmetric stable stochastic volatility models : estimation,
filtering
, and forecasting
Blasques, Francisco
;
Koopman, Siem Jan
;
Moussa, Karim
-
2023
filtering
of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …
Persistent link: https://www.econbiz.de/10014433826
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6
An adaptive regime-switching regression model for hedge funds
Erlwein, Christina
;
Müller, Marlene
- In:
IMA journal of management mathematics
25
(
2014
)
2
,
pp. 203-231
Persistent link: https://www.econbiz.de/10010347400
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7
Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics
Bekiros, Stelios D.
- In:
Journal of banking & finance
39
(
2014
),
pp. 117-134
Persistent link: https://www.econbiz.de/10010340766
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8
Likelihood ratio test and information criteria for Markov switching var models : an application to the Italian macroeconomy
Cavicchioli, Maddalena
- In:
Italian economic journal
1
(
2015
)
3
,
pp. 315-332
Persistent link: https://www.econbiz.de/10011544821
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9
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
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10
Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Journal of empirical finance
29
(
2014
),
pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
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