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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~isPartOf:"Working papers / TSE : WP"
~language:"eng"
~person:"Kim, Jihyun"
~subject:"fixed effects"
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Stochastischer Prozess
Volatility
fixed effects
Estimation theory
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Schätztheorie
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Volatilität
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Ausreißer
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Estimation
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Lévy measure
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Nichtparametrisches Verfahren
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Option pricing theory
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Statistical distribution
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Statistische Verteilung
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Stochastic process
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asymptotics
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autoregression
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bipower increment
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diffusive and jump volatility functions
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fat tails
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jump diffusion
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nonparametric estimation
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optimal bandwidth
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threshold truncation
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Kim, Jihyun
Jochmans, Koen
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Costa, Manon
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Gadat, Sébastien
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Bercu, Bernard
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Gaillac, Christophe
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Gautier, Eric
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Higgins, Ayden
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Meddahi, Nour
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Park, Joon Y.
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Wang, Bin
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Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
-
2020
Persistent link: https://www.econbiz.de/10012216029
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Volatility regressions with fat tails
Kim, Jihyun
;
Meddahi, Nour
-
2020
Persistent link: https://www.econbiz.de/10012216036
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