Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
Year of publication: |
Aug. 2001 ; [Elektronische Resource]
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Other Persons: | Christensen, Bent Jesper (contributor) ; Ørregaard Nielsen, Morten (contributor) |
Institutions: | Centre for Analytical Finance <Århus> (contributor) |
Publisher: |
Aarhus : Centre for Analytical Finance, Univ. of Aarhus, Aarhus School of Business |
Subject: | Kointegration | Cointegration | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility | Mathematik | Mathematics |
Extent: | Online-Ressource, 35 p., text ill |
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Series: | Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business. - Aarhus, ZDB-ID 2678180-3. - Vol. 89 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | nBibliography Sytemvoraussetzungen: Acrobat reader |
Source: | ECONIS - Online Catalogue of the ZBW |
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Christensen, Bent Jesper, (2001)
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