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Generalized dynamic panel data models with random effects for cross-section and time

Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140

Persistent link: https://www.econbiz.de/10010433402

Stochastic volatility and leverage : application to a panel of S&P500 stocks

Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76

Persistent link: https://www.econbiz.de/10011552253

The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models

Grothe, Oliver - 2017

Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …

Persistent link: https://www.econbiz.de/10012970355

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Malhotra, Yogesh - 2015

Algorithms, Gibbs Sampling and Metropolis-Hastings Algorithm. Network and security risk management application focus is on how …

Persistent link: https://www.econbiz.de/10013029835

Stochastic Langevin Monte Carlo for (weakly) log-concave posterior distributions

Crespo Navas, Marelys; Gadat, Sébastien; Gendre, Xavier - 2023

Persistent link: https://www.econbiz.de/10013486257

Importance sampling for weighted-serve-the-longest-queue

Dupuis, Paul; Leder, Kevin; Wang, Hui - In: Mathematics of operations research 34 (2009) 3, pp. 642-660

Persistent link: https://www.econbiz.de/10003892602

Approximating zero-variance importance sampling in a reliability setting

L'Ecuyer, Pierre; Tuffin, Bruno - 2011

Persistent link: https://www.econbiz.de/10009305691

VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

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

Importance sampling for backward SDEs

Bendera, Christian; Moseler, Thilo - 2008

In this paper we explain how the importance sampling technique can be generalized from simulating expectations to … success of the generalized importance sampling is illustrated by numerical examples in the context of Asian option pricing …

Persistent link: https://www.econbiz.de/10003877018