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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~language:"eng"
~person:"Lucas, André"
~person:"Tauchen, George Eugene"
~subject:"Momentenmethode"
~subject:"Share price"
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Stochastischer Prozess
Volatility
Momentenmethode
Share price
Estimation theory
4
Schätztheorie
4
Theorie
3
Theory
3
Estimation
2
Exchange rate
2
Schätzung
2
Wechselkurs
2
1900-1988
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1987-1993
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Consumer price index
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Control variables
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Deutsche Mark
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Deutschland
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Efficient importance sampling
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European Monetary System
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Finland
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Finnland
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France
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Frankreich
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Französischer Franc
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French franc
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Germany
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Kalman filter
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Method of moments
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Modellierung
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Numerical integration
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Portfolio selection
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Portfolio-Management
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Risiko
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Risikomaß
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Risk
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Sampling
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Lucas, André
Tauchen, George Eugene
Caner, Mehmet
2
Ghysels, Eric
2
Gospodinov, Nikolaj
2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Ling, Shiqing
2
Russell, Jeffrey R.
2
Shephard, Neil G.
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Tsay, Ruey S.
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Yang, Xiye
2
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Arellano, Manuel
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Aryal, Gaurab
1
Bai, Yuehao
1
Baillie, Richard T.
1
Baltagi, Badi H.
1
Bandi, Federico M.
1
Bauwens, Luc
1
Bibinger, Markus
1
Bodnar, Taras
1
Bollerslev, Tim
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Brown, Bryan W.
1
Buccheri, Giuseppe
1
Cape, Joshua
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Chan, Joshua
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Chang, Jinyuan
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Chung, Chae-shick
1
Corsi, Fulvio
1
Danaher, Peter J.
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Discussion paper / Tinbergen Institute
7
Journal of econometrics
7
ERID working paper
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Computation and estimation in finance and economics
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Econometric reviews
1
Econometric theory
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
International journal of forecasting
1
Journal of financial econometrics
1
Macroeconomic dynamics
1
Nonparametric dynamic modelling
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Sveriges Riksbank working paper series
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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2
Testing target-zone models using efficient method of moments
Chung, Chae-shick
;
Tauchen, George Eugene
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
3
,
pp. 255-269
Persistent link: https://www.econbiz.de/10001603242
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