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subject:"Deutschland"
subject:"Forecasting model"
~accessRights:"restricted"
~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Quantitative finance"
~person:"Chronopoulou, Alexandra"
~person:"Realdon, Marco"
~subject:"Stochastic process"
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Deutschland
Forecasting model
Stochastic process
Estimation theory
2
Schätztheorie
2
Stochastischer Prozess
2
Volatility
2
Volatilität
2
Affine autoregressive gamma models
1
Discrete time affine term structure models
1
Estimation
1
Long memory stochastic volatility
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Option pricing theory
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Optionspreistheorie
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Parameter estimation
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Particle filtering
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Rough stochastic volatility
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Second-order Esscher transform
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Shock
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Squared Gaussian shocks
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State space model
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Stochastic volatility
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Chronopoulou, Alexandra
Realdon, Marco
Tsiotas, Georgios
2
Badescu, Andrei L.
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chi, Xie
1
Dupin, Gilles
1
Fung, Tsz Chai
1
Gigante, Patrizia
1
Guo, Meihui
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Huang, Shih-Feng
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Jiang, Zhi-Qiang
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Koenig, Emmanuel
1
Kondor, Imre
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Le Moine, Pierre
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Lewis, Alan L.
1
Li, Deyuan
1
Li, Hong
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Lin, X. Sheldon
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Ling, Chen
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Liu, Guangying
1
Liu, Qing
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Monfort, Alain
1
Papp, Gábor
1
Peng, Liang
1
Picech, Liviana
1
Pirjol, Dan
1
Podobnik, Boris
1
Ratiarison, Eric
1
Ren, Yu
1
Shang, Han Lin
1
Sigalotti, Luciano
1
Sornette, Didier
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Spiliopoulos, Konstantinos
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Astin bulletin : the journal of the International Actuarial Association
Quantitative finance
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ECONIS (ZBW)
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Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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2
Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra
;
Spiliopoulos, Konstantinos
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
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