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subject:"Volatility"
~isPartOf:"Economic modelling"
~person:"Maheswaran, S."
~person:"Sriananthakumar, Sivagowry"
~subject:"Monte-Carlo-Simulation"
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Volatility
Monte-Carlo-Simulation
Estimation theory
6
Schätztheorie
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Monte Carlo simulation
3
Share price
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Simulation
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ARCH model
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Approximate Non-Similar critical values
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Approximate point optimal test
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Binomial Markov Random Walk (BMRW) model
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Estimation
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Generalized Neyman-Pearson lemma
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IT ICSS algorithm
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Large sample asymptotic distribution
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Maheswaran, S.
Sriananthakumar, Sivagowry
Kumar, Dilip
4
Li, Yong
2
Xu, Weijun
2
Boughrara, Adel
1
Castillo B., Paul
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Dridi, Ichrak
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Feng, Yuanhua
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Hatemi-J, Abdulnasser
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Malliaropulos, Dimitrios
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McNeil, Alexander J.
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Vorada Limjaroenrat
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Economic modelling
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Cogent economics & finance
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Finance India : the quarterly journal of Indian Institute of Finance
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Financial markets and portfolio management
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IIMB management review
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International review of economics & finance : IREF
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International review of financial analysis
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Macroeconomics and finance in emerging market economies
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Approximate Non-Similar critical values based tests vs Maximized Monte Carlo tests
Sriananthakumar, Sivagowry
- In:
Economic modelling
49
(
2015
),
pp. 387-394
Persistent link: https://www.econbiz.de/10011439597
Saved in:
2
A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
38
(
2014
),
pp. 33-44
Persistent link: https://www.econbiz.de/10010418224
Saved in:
3
Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
31
(
2013
),
pp. 484-491
Persistent link: https://www.econbiz.de/10009730777
Saved in:
4
An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.
;
Kumar, Dilip
- In:
Economic modelling
33
(
2013
),
pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
Saved in:
5
Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors : a point optimal testing approach
Sriananthakumar, Sivagowry
- In:
Economic modelling
33
(
2013
),
pp. 126-136
Persistent link: https://www.econbiz.de/10010192022
Saved in:
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