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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Banerjee, Anurag Narayan"
~person:"Dark, Jonathan Graeme"
~person:"Elliott, Robert J."
~person:"Flachaire, Emmanuel"
~person:"Fonseca, José da"
~subject:"Cointegration"
~subject:"Empirical Characteristic Function"
~subject:"Statistical distribution"
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Stochastischer Prozess
Volatility
Cointegration
Empirical Characteristic Function
Statistical distribution
Estimation theory
5
Schätztheorie
5
Estimation
4
Schätzung
4
ARCH model
2
ARCH-Modell
2
Stochastic process
2
Time series analysis
2
Volatilität
2
Zeitreihenanalyse
2
Bivariate diffusion limit
1
Conditional Esscher transform
1
Correlation
1
Einheitswurzeltest
1
Extended Girsanov principle
1
Finance
1
GARCH
1
Generalized Method of Moments
1
Kointegration
1
Korrelation
1
Lagrange multiplier test
1
Method of moments
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Momentenmethode
1
Nichtparametrisches Verfahren
1
Non-Gaussian GARCH models
1
Nonparametric statistics
1
Option pricing theory
1
Optionspreistheorie
1
Portfolio selection
1
Portfolio-Management
1
Risikomaß
1
Risk measure
1
Statistical test
1
Statistische Verteilung
1
Statistischer Test
1
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Banerjee, Anurag Narayan
Dark, Jonathan Graeme
Elliott, Robert J.
Flachaire, Emmanuel
Fonseca, José da
Heidergott, Bernd
2
Li, Jing
2
Schweikert, Karsten
2
Tsionas, Efthymios G.
2
Abbara, Omar
1
Adcock, C. J.
1
Anatolyev, Stanislav
1
Andreeva, Galina
1
Badescu, Alexandru
1
Baruník, Jozef
1
Beasley, John E.
1
Bekiros, Stelios
1
Blazsek, Szabolcs
1
Borovkova, Svetlana
1
Brandão, Luiz Eduardo Teixeira
1
Bu, Ruijun
1
Candelon, Bertrand
1
Carnero, M. Angeles
1
Chan, Jennifer So Kuen
1
Chan, Joshua C. C.
1
Chen, Piao
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Crook, Jonathan N.
1
Daníelsson, Jón
1
De Angelis, Luca
1
Dyer, James S.
1
Eliasson, Ann-Charlotte
1
Enders, Walter
1
Ericsson, Neil R.
1
Escribano, Álvaro
1
Fernández, Arturo J.
1
Fouskakis, D.
1
Goutte, Stéphane
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European journal of operational research : EJOR
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Discussion papers in economics and econometrics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Oberwolfach
1
Productivity and Inequality
1
The European journal of finance
1
The econometrics journal
1
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ECONIS (ZBW)
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1
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
2
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
European journal of operational research : EJOR
247
(
2015
)
3
,
pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
Saved in:
3
Functional cointegration : definition and nonparametric estimation
Banerjee, Anurag Narayan
;
Pitarakis, Jean-Yves
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
5
,
pp. 507-520
Persistent link: https://www.econbiz.de/10010461196
Saved in:
4
Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
3
,
pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
Saved in:
5
Estimation of time varying skewness and kurtosis with an application to value at risk
Dark, Jonathan Graeme
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
2
,
pp. 1-48
Persistent link: https://www.econbiz.de/10009514124
Saved in:
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