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Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - 2012

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …-based algorithm is presented for the method which demonstrated that we are able to estimate a class of models in which the probability …

Persistent link: https://www.econbiz.de/10014164616

Exploring search space trees using an adapted version of Monte Carlo tree search for combinatorial optimization problems

Jooken, Jorik; Leyman, Pieter; Wauters, Tony; De … - In: Computers & operations research : and their … 150 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10013485774

Multiobjective interacting particle algorithm for global optimization

Mete, Huseyin Onur; Zabinsky, Zelda B. - In: INFORMS journal on computing : JOC 26 (2014) 3, pp. 500-513

Persistent link: https://www.econbiz.de/10010399777

A sample average approximation method for disassemblx line balancing problem under uncertainty

Bentaha, Mohand Lounes; Battaïa, Olga; Dolgui, Alexandre - In: Computers & operations research : and their … 51 (2014), pp. 111-122

Persistent link: https://www.econbiz.de/10010408891

Particle filters for Markov switching stochastic volatility models

Yun, Bao; Chiarella, Carl; Kang, Boda - 2012

Persistent link: https://www.econbiz.de/10009564477

Particle filters for Markov switching stochastic volatility models

Yun, Bao; Chiarella, Carl; Kang, Boda - In: The Oxford handbook of computational economics and finance, (pp. 249-266). 2018

Persistent link: https://www.econbiz.de/10011952212

A primal-dual algorithm for BSDES

Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901

Persistent link: https://www.econbiz.de/10011764983

Comparison of Kriging-based algorithms for simulation optimization with heterogeneous noise

Jalali, Hamed; Van Nieuwenhuyse, Inneke; Picheny, Victor - In: European journal of operational research : EJOR 261 (2017) 1, pp. 279-301

Persistent link: https://www.econbiz.de/10011765027

Revisiting the nested fixed-point algorithm in BLP random coefficients demand estimation

Lee, Jinhyuk; Seo, Kyoungwon - In: Economics letters 149 (2016), pp. 67-70

Persistent link: https://www.econbiz.de/10011620107

A parallel implementation of an O*(n⁴) volume algorithm

Mohácsi, Laszlo; Deák, I. - In: Central European journal of operations research : CEJOR … 23 (2015) 4, pp. 925-952

Persistent link: https://www.econbiz.de/10011597886