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person:"Yu, Jun"
~person:"Hurn, Stan"
~subject:"Theory"
~subject:"Volatility"
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Search: subject_exact:"ML-estimation"
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Volatility
Maximum likelihood estimation
24
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24
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14
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14
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Yu, Jun
Hurn, Stan
Koopman, Siem Jan
32
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12
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11
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11
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9
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7
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7
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7
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7
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6
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6
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6
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6
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5
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5
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5
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5
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5
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ECONIS (ZBW)
15
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1
Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan
;
Lindsay, K. A.
;
McClelland, Andrew
-
2012
Persistent link: https://www.econbiz.de/10009665916
Saved in:
2
Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan
;
Lindsay, Kenneth A.
;
McClelland, Andrew
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
4
,
pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
Saved in:
3
Maximum likelihood and Gaussian estimation of continuous time models in finance
Phillips, Peter C. B.
(
contributor
);
Yu, Jun
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003462517
Saved in:
4
A two-stage realized volatility approach to the estimation for diffusion processes from discrete observations
Phillips, Peter C. B.
;
Yu, Jun
-
2005
Persistent link: https://www.econbiz.de/10003000713
Saved in:
5
Jackknifing bond option prices
Phillips, Peter C. B.
;
Yu, Jun
-
2003
Persistent link: https://www.econbiz.de/10001735077
Saved in:
6
Jackknifing bond option prices
Phillips, Peter C. B.
;
Yu, Jun
-
2002
Persistent link: https://www.econbiz.de/10001727120
Saved in:
7
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Phillips, Peter C. B.
;
Yu, Jun
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 139-150
Persistent link: https://www.econbiz.de/10003858462
Saved in:
8
Transitional densities of diffusion processes : a new approach to solving the Fokker-Plank equation
Hurn, Stan
;
Jeisman, J. I.
;
Lindsay, Kenneth A.
- In:
The journal of derivatives : the official publication …
14
(
2007
)
4
,
pp. 86-94
Persistent link: https://www.econbiz.de/10003498962
Saved in:
9
Seeing the wood for the trees : a critical evaluation of methods to estimate the parameters of stochastic differential equations
Hurn, Stan
;
Jeisman, J. I.
;
Lindsay, Kenneth A.
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 390-455
Persistent link: https://www.econbiz.de/10003518500
Saved in:
10
On leverage in a stochastic volatility model
Yu, Jun
- In:
Journal of econometrics
127
(
2005
)
2
,
pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
Saved in:
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