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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:"Dark, Jonathan Graeme"
~person:"Elliott, Robert J."
~person:"Flachaire, Emmanuel"
~person:"Fonseca, José da"
~person:"Heidergott, Bernd"
~subject:"Cointegration"
~subject:"Empirical Characteristic Function"
~subject:"Estimation"
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Stochastischer Prozess
Volatility
Cointegration
Empirical Characteristic Function
Estimation
Estimation theory
7
Schätztheorie
7
Stochastic process
4
Schätzung
3
Volatilität
3
ARCH model
2
ARCH-Modell
2
Finance
2
Option pricing theory
2
Optionspreistheorie
2
Bivariate diffusion limit
1
Conditional Esscher transform
1
Correlation
1
Extended Girsanov principle
1
GARCH
1
Generalized Method of Moments
1
Gradient estimation
1
Korrelation
1
Lagrange multiplier test
1
Method of moments
1
Model risk
1
Momentenmethode
1
Non-Gaussian GARCH models
1
Option pricing
1
Portfolio selection
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Portfolio-Management
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Risikomaß
1
Risk measure
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Statistical distribution
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Statistical test
1
Statistische Verteilung
1
Statistischer Test
1
Stochastic Correlation
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Time series analysis
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Wishart Process
1
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Dark, Jonathan Graeme
Elliott, Robert J.
Flachaire, Emmanuel
Fonseca, José da
Heidergott, Bernd
Kumbhakar, Subal
4
Tsionas, Efthymios G.
4
Enders, Walter
2
Lee, Junsoo
2
Li, Jing
2
Schweikert, Karsten
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Badescu, Alexandru
1
Badunkenko, Oleg
1
Banerjee, Anurag Narayan
1
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1
Behr, Andreas
1
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1
Borovkova, Svetlana
1
Brandão, Luiz Eduardo Teixeira
1
Bu, Ruijun
1
Byoung Hark Yoo
1
Calabrese, Raffaella
1
Candelon, Bertrand
1
Cave, Joshua
1
Chan, Jennifer So Kuen
1
Chan, Joshua
1
Chaudhuri, Kausik
1
Cheng, Jie
1
Chevallier, Julien
1
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1
Chuffart, Thomas
1
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1
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1
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1
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1
Donfack, Morvan Nongni
1
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1
Dyer, James S.
1
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European journal of operational research : EJOR
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Oberwolfach
1
Operations research
1
The European journal of finance
1
The econometrics journal
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ECONIS (ZBW)
6
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1
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
2
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:
3
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:
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
A coupling approach to estimating the Lyapunov exponent of stochastic max-plus linear systems
Goverde, Rob M. P.
;
Heidergott, Bernd
;
Merlet, Glenn
- In:
European journal of operational research : EJOR
210
(
2011
)
2
,
pp. 249-257
Persistent link: https://www.econbiz.de/10008841221
Saved in:
6
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
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