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subject:"Stochastic process"
subject:"Time series analysis"
~isPartOf:"CREATES research paper"
~isPartOf:"Energy economics"
~person:"Pakkanen, Mikko S."
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Stochastic process
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Pakkanen, Mikko S.
Podolskij, Mark
15
Grassi, Stefano
6
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5
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CREATES research paper
Energy economics
International journal of theoretical and applied finance
1
Journal of financial econometrics
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ECONIS (ZBW)
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Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
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2
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
Saved in:
3
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2015
Persistent link: https://www.econbiz.de/10011343494
Saved in:
4
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Corcuera, José Manuel
;
Hedevang, Emil
;
Pakkanen, Mikko S.
-
2012
Persistent link: https://www.econbiz.de/10009667365
Saved in:
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