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isPartOf:"Journal of econometrics"
~person:"Augustyniak, Maciej"
~person:"Corsi, Fulvio"
~person:"Todorov, Viktor"
~subject:"Statistical distribution"
~subject:"Statistische Verteilung"
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Statistical distribution
Statistische Verteilung
Volatility
20
Volatilität
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Estimation
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Schätzung
13
Stochastic process
12
Stochastischer Prozess
12
Estimation theory
10
Schätztheorie
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Börsenkurs
8
Capital income
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Kapitaleinkommen
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Share price
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Time series analysis
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Zeitreihenanalyse
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High-frequency data
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Option pricing theory
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Optionspreistheorie
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Stochastic volatility
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Nichtparametrisches Verfahren
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Theory
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Aktienindex
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Options
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Induktive Statistik
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Jumps
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Martingal
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Optionsgeschäft
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Statistical inference
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Augustyniak, Maciej
Corsi, Fulvio
Todorov, Viktor
Bollerslev, Tim
3
Corradi, Valentina
2
Meddahi, Nour
2
Paolella, Marc S.
2
Polak, Pawel
2
Swanson, Norman R.
2
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1
Badescu, Alexandru
1
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1
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1
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1
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1
Davis, Richard A.
1
Distaso, Walter
1
Drees, Holger
1
El Ghouch, Anouar
1
Fisher, Adlai
1
Flandoli, Franco
1
Francq, Christian
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Journal of econometrics
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A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
2
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
3
The continuous-time limit of score-driven volatility models
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Flandoli, Franco
; …
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 655-675
Persistent link: https://www.econbiz.de/10012619254
Saved in:
4
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
5
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
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