13
H index
17
i10 index
648
Citations
Université de Genève | 13 H index 17 i10 index 648 Citations RESEARCH PRODUCTION: 24 Articles 35 Papers 1 Books RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Manfred Gilli. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Economic Dynamics and Control | 6 |
Computational Statistics & Data Analysis | 3 |
Computer Science in Economics & Management | 2 |
Computational Economics | 2 |
Year | Title of citing document |
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2021 | Search for Profits and Business Fluctuations: How Banks Behaviour Explain Cycles?. (2021). Maggioni, Daniela ; Lo Turco, Alessia ; Gaffeo, Edoardo ; Gallegati, Mauro ; Casabianca, Elizabeth ; Ciola, Emanuele. In: Working Papers. RePEc:anc:wpaper:448. Full description at Econpapers || Download paper |
2021 | Search for Profits and Business Fluctuations: How Banks Behaviour Explain Cycles?. (2021). Gaffeo, Edoardo ; Gallegati, Mauro ; Ciola, Emanuele. In: Working Papers. RePEc:anc:wpaper:450. Full description at Econpapers || Download paper |
2020 | Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207. Full description at Econpapers || Download paper |
2021 | AI in FinTech: A Research Agenda. (2020). Cao, Longbing. In: Papers. RePEc:arx:papers:2007.12681. Full description at Econpapers || Download paper |
2021 | Hybrid quantum-classical optimization for financial index tracking. (2020). Jos, Juan ; Porras, Diego ; Fern, Samuel. In: Papers. RePEc:arx:papers:2008.12050. Full description at Econpapers || Download paper |
2022 | Unbiased estimation and backtesting of risk in the context of heavy tails. (2020). Schmidt, Thorsten ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2010.09937. Full description at Econpapers || Download paper |
2020 | Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. (2020). Georgantas, A. In: Papers. RePEc:arx:papers:2010.13397. Full description at Econpapers || Download paper |
2021 | Automated and Distributed Statistical Analysis of Economic Agent-Based Models. (2021). Lamperti, Francesco ; Vandin, Andrea ; Giachini, Daniele ; Chiaromonte, Francesca. In: Papers. RePEc:arx:papers:2102.05405. Full description at Econpapers || Download paper |
2021 | SWIFT calibration of the Heston model. (2021). Ortiz-Gracia, Luis ; Romo, Eudald. In: Papers. RePEc:arx:papers:2103.01570. Full description at Econpapers || Download paper |
2021 | Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918. Full description at Econpapers || Download paper |
2021 | Calibrating an adaptive Farmer-Joshi agent-based model for financial markets. (2021). Jericevich, Ivan ; Gebbie, Tim ; McKechnie, Murray. In: Papers. RePEc:arx:papers:2104.09863. Full description at Econpapers || Download paper |
2021 | How to handle negative interest rates in a CIR framework. (2021). Kamm, Kevin ; di Francesco, Marco. In: Papers. RePEc:arx:papers:2106.03716. Full description at Econpapers || Download paper |
2021 | AI in Finance: Challenges, Techniques and Opportunities. (2021). Cao, Longbing. In: Papers. RePEc:arx:papers:2107.09051. Full description at Econpapers || Download paper |
2021 | Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithm. (2021). Zhang, Amber ; Pintar, Andrej ; Lakhany, Asif. In: Papers. RePEc:arx:papers:2108.01760. Full description at Econpapers || Download paper |
2021 | $\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs. (2021). Kebiri, Omar ; Remita, Mohamed Riad ; Hartmann, Carsten ; Mezdoud, Zaineb. In: Papers. RePEc:arx:papers:2108.06965. Full description at Econpapers || Download paper |
2021 | Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan. In: Papers. RePEc:arx:papers:2108.07806. Full description at Econpapers || Download paper |
2021 | Hurricane Bond Price Dependency on Underlying Hurricane Parameters. (2021). Yalan, Feng ; Carolyn, Chang. In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:15:y:2021:i:1:p:21:n:5. Full description at Econpapers || Download paper |
2021 | An improved product type oscillation test for partial difference equations. (2021). Ozsava, Bura ; Karpuz, Baak. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:391:y:2021:i:c:s009630032030583x. Full description at Econpapers || Download paper |
2021 | Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution. (2021). Soleymani, Fazlollah ; Ahmed, Dilan ; Hasan, Hataw ; Ullah, Malik Zaka. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:402:y:2021:i:c:s0096300321001776. Full description at Econpapers || Download paper |
2020 | Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. (2020). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301927. Full description at Econpapers || Download paper |
2020 | Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257. Full description at Econpapers || Download paper |
2020 | A comparison of economic agent-based model calibration methods. (2020). Platt, Donovan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300294. Full description at Econpapers || Download paper |
2021 | Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664. Full description at Econpapers || Download paper |
2022 | Search for profits and business fluctuations: How does banks’ behaviour explain cycles?. (2022). Gallegati, Mauro ; Gaffeo, Edoardo ; Ciola, Emanuele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:135:y:2022:i:c:s016518892100227x. Full description at Econpapers || Download paper |
2021 | Model calibration and validation via confidence sets. (2021). Centorrino, Samuele ; Secchi, Davide ; Martinoli, Mario ; Seri, Raffaello. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:62-86. Full description at Econpapers || Download paper |
2022 | Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models. (2022). Lux, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:69-95. Full description at Econpapers || Download paper |
2021 | Development of a framework for the assessment of the market penetration of novel in situ bitumen extraction technologies. (2021). Kumar, Amit ; Ahiduzzaman, MD ; Gemechu, Eskinder ; Radpour, Saeidreza . In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544220327730. Full description at Econpapers || Download paper |
2022 | Energy crisis in Brazil: Impact of hydropower reservoir level on the river flow. (2022). Ramos, Dorel Soares ; Colombo, Jose Sidnei ; Vasconcelos, Marcos Aurelio ; Brando, Roberto ; de Castro, Nivalde Jose ; Ribeiro, Andre Luis ; Schneider, Paulo Smith ; Caputo, Fernanda Munari ; Ten, Carla Schwengber ; Nascimento, Andreas ; Senne, Rodrigo ; Hunt, Julian David. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021757. Full description at Econpapers || Download paper |
2020 | Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506. Full description at Econpapers || Download paper |
2020 | Minsky from the bottom up – Formalising the two-price model of investment in a simple agent-based framework. (2020). Reissl, Severin. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:177:y:2020:i:c:p:109-142. Full description at Econpapers || Download paper |
2020 | Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models. (2020). Grazzini, Jakob ; Delli Gatti, Domenico. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:178:y:2020:i:c:p:875-902. Full description at Econpapers || Download paper |
2021 | Does parameterization affect the complexity of agent-based models?. (2021). Krištoufek, Ladislav ; Kristoufek, Ladislav ; Kukacka, Jiri. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:324-356. Full description at Econpapers || Download paper |
2021 | Path integral Monte Carlo method for option pricing. (2021). Vvedensky, Dimitri D ; Gherardini, Tancredi Schettini ; Panella, Emanuele ; Capuozzo, Pietro. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:581:y:2021:i:c:s0378437121005045. Full description at Econpapers || Download paper |
2020 | Representing external hazard initiating events using a Bayesian approach and a generalized extreme value model. (2020). Smith, Curtis L. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:193:y:2020:i:c:s0951832019302790. Full description at Econpapers || Download paper |
2022 | Herding in the Chinese and US stock markets: Evidence from a micro-founded approach. (2022). Chen, Zhenxi ; Zheng, Huanhuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:597-604. Full description at Econpapers || Download paper |
2021 | An equivalent mathematical program for games with random constraints. (2021). Arora, Monika ; Lisser, Abdel ; Singh, Vikas Vikram. In: Statistics & Probability Letters. RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000547. Full description at Econpapers || Download paper |
2022 | Tail risk and systemic risk of finance and technology (FinTech) firms. (2022). Benjasak, Chonlakan ; Duc, Toan Luu ; Ahmed, Rizwan ; Chaudhry, Sajid M. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:174:y:2022:i:c:s0040162521006247. Full description at Econpapers || Download paper |
2021 | The Optimization of Bayesian Extreme Value: Empirical Evidence for the Agricultural Commodities in the US. (2021). Sriboonchitta, Songsak ; Chaiboonsri, Chukiat ; Singvejsakul, Jittima. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:30-:d:510809. Full description at Econpapers || Download paper |
2020 | A Conceptual Framework to Classify and Manage Risk, Uncertainty and Ambiguity: An Application to Energy Policy. (2020). Romerio, Franco ; Gaudard, Ludovic. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:6:p:1422-:d:334037. Full description at Econpapers || Download paper |
2020 | Stochastic Optimization System for Bank Reverse Stress Testing. (2020). Ronga, Alessandro ; Fazzini, Massimiliano ; Papiro, Giovanni ; Montesi, Giuseppe. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:174-:d:395561. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Assessing the Economic Impact of Lockdowns in Italy: A Computational Input-Output Approach. (2021). Roventini, Andrea ; Reissl, Severin ; Napoletano, Mauro ; Guerini, Mattia ; Ferraresi, Tommaso ; Fagiolo, Giorgio ; Vanni, Fabio ; Lamperti, Francesco ; Caiani, Alessandro ; Ghezzi, Leonardo. In: GREDEG Working Papers. RePEc:gre:wpaper:2021-15. Full description at Econpapers || Download paper |
2020 | Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481. Full description at Econpapers || Download paper |
2021 | Assessing the economic impact of lockdowns in Italy: a computational input-output approach. (2021). Caiani, Alessandro ; Reissl, Severin ; Roventini, Andrea ; Napoletano, Mauro ; Ghezzi, Leonardo ; Ferraresi, Tommaso ; Fagiolo, Giorgio ; Vanni, Fabio ; Guerini, Mattia ; Lamperti, Francesco. In: Working Papers. RePEc:hal:wpaper:hal-03373672. Full description at Econpapers || Download paper |
2020 | Validation and Calibration of an Agent-Based Model: A Surrogate Approach. (2020). Zhang, Yongchao ; Li, Zhe. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6946370. Full description at Econpapers || Download paper |
2020 | Bet against the trend and cash in profits. (2020). Lang, Dany ; Ramos, Raquel Almeida ; Bassi, Federico. In: FMM Working Paper. RePEc:imk:fmmpap:60-2020. Full description at Econpapers || Download paper |
2020 | An Evolutionary Approach to Passive Learning in Optimal Control Problems. (2020). Savin, Ivan ; Blueschke, Dmitri ; Blueschke-Nikolaeva, V. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:3:d:10.1007_s10614-019-09961-4. Full description at Econpapers || Download paper |
2021 | Parallel Extended Path Method for Solving Perfect Foresight Models. (2021). Weitzel, Matthias ; Melnikov, N B ; Oneill, B C ; Dalton, M G ; Gruzdev, A P. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10044-y. Full description at Econpapers || Download paper |
2022 | A Regression-Based Calibration Method for Agent-Based Models. (2022). Desiderio, Saul ; Chen, Siyan. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10106-9. Full description at Econpapers || Download paper |
2022 | A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w. Full description at Econpapers || Download paper |
2020 | Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6. Full description at Econpapers || Download paper |
2022 | Robust Extreme Quantile Estimation for Pareto-Type tails through an Exponential Regression Model. (2022). Ghosh, Abhik ; de Wet, Tertius ; deWet, Tertius ; Minkah, Richard. In: AfricArxiv. RePEc:osf:africa:hf7vk. Full description at Econpapers || Download paper |
2021 | Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies. (2021). Bonga-Bonga, Lumengo ; Muteba, John Weirstrass ; Montshioa, Keitumetse. In: MPRA Paper. RePEc:pra:mprapa:106248. Full description at Econpapers || Download paper |
2020 | The Efficiency of GARCH Models in Realizing Value at Risk Estimates. (2020). Jeoabek, Toma. In: ACTA VSFS. RePEc:prf:journl:v:14:y:2020:i:1:p:32-50. Full description at Econpapers || Download paper |
2020 | Term premium and rate expectation estimates from the South African yield curve. (2020). Steenkamp, Daan ; Soobyah, Luchelle. In: Working Papers. RePEc:rbz:wpaper:9998. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2022 | Action for Action: Mad COVID-19, Falling Markets and Rising Volatility of SAARC Region. (2022). Saleem, Asima. In: Annals of Data Science. RePEc:spr:aodasc:v:9:y:2022:i:1:d:10.1007_s40745-021-00349-6. Full description at Econpapers || Download paper |
2020 | Hydropower impact on the river flow of a humid regional climate. (2020). Falchetta, Giacomo ; Hunt, Julian David ; Castro, Nivalde Jose ; Franco, Paulo Sergio ; Amarante, Andre Luiz ; Brasil, Natalia Assis ; Schneider, Paulo Smith ; Nascimento, Andreas ; Zakeri, Behnam. In: Climatic Change. RePEc:spr:climat:v:163:y:2020:i:1:d:10.1007_s10584-020-02828-w. Full description at Econpapers || Download paper |
2021 | Numerical estimates of risk factors contingent on credit ratings. (2021). Kaniovski, Y ; Gartner, T. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:4:d:10.1007_s10287-021-00405-9. Full description at Econpapers || Download paper |
2021 | Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate. (2021). Najafi, Ali Reza ; Salahi, Maziar ; Khodamoradi, Tahereh. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00293-9. Full description at Econpapers || Download paper |
2021 | Portfolio optimization under solvency II: a multi-objective approach incorporating market views and real-world constraints. (2021). di Francesco, Marco. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-021-00320-3. Full description at Econpapers || Download paper |
2021 | Herding and capitalization size in the Chinese stock market: a micro-foundation evidence. (2021). Ru, Jing ; Chen, Zhenxi. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-019-01816-z. Full description at Econpapers || Download paper |
2020 | Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach. (2020). Liu, Yi-Cheng ; Yeh, I-Cheng ; I-Cheng Yeh, . In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00209-x. Full description at Econpapers || Download paper |
2021 | Internalizing the externalities of overfunding: an agent-based model approach for analyzing the market dynamics on crowdfunding platforms. (2021). Kohlhase, Moritz ; Lausen, Jens ; Koch, Jascha-Alexander. In: Journal of Business Economics. RePEc:spr:jbecon:v:91:y:2021:i:9:d:10.1007_s11573-021-01045-w. Full description at Econpapers || Download paper |
2020 | An agent-based early warning indicator for financial market instability. (2020). Vidal-Tomás, David ; Alfarano, Simone ; Vidal-Tomas, David. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00272-3. Full description at Econpapers || Download paper |
2021 | Heterogeneous expectations, forecasting behaviour and policy experiments in a hybrid Agent-based Stock-flow-consistent model. (2021). Reissl, Severin. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:31:y:2021:i:1:d:10.1007_s00191-020-00683-7. Full description at Econpapers || Download paper |
2020 | Automated and Distributed Statistical Analysis of Economic Agent-Based Models. (2020). Lamperti, Francesco ; Giachini, Daniele ; Vandin, Andrea ; Chiaromonte, Francesca. In: LEM Papers Series. RePEc:ssa:lemwps:2020/31. Full description at Econpapers || Download paper |
2021 | Assessing the economic effects of lockdowns in Italy: a dynamic Input-Output approach. (2021). Napoletano, Mauro ; Reissl, Severin ; Roventini, Andrea ; Ghezzi, Leonardo ; Ferraresi, Tommaso ; Fagiolo, Giorgio ; Vanni, Fabio ; Guerini, Mattia ; Lamperti, Francesco ; Caiani, Alessandro. In: LEM Papers Series. RePEc:ssa:lemwps:2021/03. Full description at Econpapers || Download paper |
2020 | Loss aversion in an agent-based asset pricing model. (2020). Jennings, Nicholas R ; Polukarov, Maria ; Pruna, Radu T. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:275-290. Full description at Econpapers || Download paper |
2021 | Assessing the Role of Ordering in Sequential English Auctions – Evidence from the Online Western Video Market Auction. (2021). Shonkwiler, Scott J ; Li, Yunhan. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:103:y:2021:i:1:p:90-105. Full description at Econpapers || Download paper |
2021 | Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ?CoVaR risk metric?based copula approach. (2021). Yoon, Seongmin ; Mensi, Walid ; Hussain, Syed Jawad ; al Yahyaee, Khamis Hamed ; Alyahyaee, Khamis Hamed. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2904-2926. Full description at Econpapers || Download paper |
2021 | Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925. Full description at Econpapers || Download paper |
2020 | A review of agent?based modeling of climate?energy policy. (2020). van den Bergh, Jeroen ; Savin, Ivan ; Exadaktylos, Filippos ; Konc, Theo ; Klein, Franziska ; Foramitti, Joel ; Drews, Stefan ; Castro, Juana. In: Wiley Interdisciplinary Reviews: Climate Change. RePEc:wly:wirecc:v:11:y:2020:i:4:n:e647. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2006 | A Data-Driven Optimization Heuristic for Downside Risk Minimization In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 28 |
2006 | A Data-Driven Optimization Heuristic for Downside Risk Minimization.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2006 | Using Economic and Financial Information for Stock Selection In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2008 | Using economic and financial information for stock selection.(2008) In: Computational Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2007 | An Objective Function for Simulation Based Inference on Exchange Rate Data In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 80 |
2006 | An Objective Function for Simulation Based Inference on Exchange Rate Data.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
2007 | An objective function for simulation based inference on exchange rate data.(2007) In: Journal of Economic Interaction and Coordination. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | article | |
2008 | A review of heuristic optimization methods in econometrics In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 17 |
2008 | Review of Heuristic Optimization Methods in Econometrics.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2008 | Distributed Optimisation of a Portfolios Omega In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
2008 | Constructing Long/Short Portfolios with the Omega ratio In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 11 |
2009 | An Empirical Analysis of Alternative Portfolio Selection Criteria In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2010 | Replicating Hedge Fund Indices with Optimization Heuristics In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2017 | Risk-Reward Ratio Optimisation (Revisited) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Heuristic Optimisation in Financial Modelling In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
2012 | Heuristic optimisation in financial modelling.(2012) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2009 | Implementing Binomial Trees In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Optimal enough? In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2009 | Robust regression with optimisation heuristics In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Calibrating Option Pricing Models with Heuristics In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
2010 | Calibrating the Nelson–Siegel–Svensson model In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
2010 | A note on ‘good starting values’ in numerical optimisation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
1978 | A Program for Causal and Qualitative Analysis of Economic. In: Econometrica. [Full Text][Citation analysis] | article | 1 |
2003 | A global optimization heuristic for estimating agent based models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 155 |
2004 | Applications of optimization heuristics to estimation and modelling problems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 30 |
2007 | 2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
1991 | Qualitative decomposition of the eigenvalue problem in a dynamic system In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
1996 | Matchings, covers, and Jacobian matrices In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
1997 | Sparse direct methods for model simulation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
1998 | Krylov methods for solving models with forward-looking variables In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 10 |
2002 | Solving finite difference schemes arising in trivariate option pricing In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
2008 | An efficient branch-and-bound strategy for subset vector autoregressive model selection In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
2011 | Numerical Methods and Optimization in Finance In: Elsevier Monographs. [Full Text][Citation analysis] | book | 29 |
2000 | Extreme Value Theory for Tail-Related Risk Measures In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
2000 | A Heuristic Approach to Portfolio Optimization In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2001 | Indirect Estimation of the Parameters of Agent Based Models of Financial Markets In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 38 |
2001 | Indirect Estimation of the Parameters of Agent Based Models of Financial Markets..(2001) In: Manitoba - Department of Economics. [Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2001 | Indirect Estimation of the Parameters of Agent Based Models of Financial Markets.(2001) In: Computing in Economics and Finance 2001. [Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2002 | Indirect Estimation of the Parameters of Agent Based Models of Financial Markets.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
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