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type_genre:"Arbeitspapier"
type_genre:"Series"
~institution:"Centre for Analytical Finance <Århus>"
~subject:"Maximum likelihood estimation"
~subject:"Volatility"
~type_genre:"Aufsatzsammlung"
~type_genre:"Handbook"
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Maximum likelihood estimation
Volatility
Theorie
66
Theory
66
Option pricing theory
13
Optionspreistheorie
13
Yield curve
11
Zinsstruktur
11
Estimation
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
Stochastic process
7
Stochastischer Prozess
7
Volatilität
7
ARCH model
6
ARCH-Modell
6
Time series analysis
6
Zeitreihenanalyse
6
Estimation theory
5
Markov chain
5
Markov-Kette
5
Schätztheorie
5
CAPM
4
Maximum-Likelihood-Schätzung
4
Option trading
4
Optionsgeschäft
4
Cointegration
3
Einheitswurzeltest
3
Hedging
3
Kleinste-Quadrate-Methode
3
Kointegration
3
Least squares method
3
Probability theory
3
Regression analysis
3
Regressionsanalyse
3
Unit root test
3
Wahrscheinlichkeitsrechnung
3
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Book / Working Paper
10
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Arbeitspapier
Series
Aufsatzsammlung
Handbook
Graue Literatur
10
Non-commercial literature
10
Working Paper
10
Language
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English
10
Author
All
Sørensen, Helle
2
Barndorff-Nielsen, Ole E.
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Kristensen, Dennis
1
Lunde, Asger
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Rahbek, Anders
1
Shephard, Neil G.
1
Strunk Hansen, Charlotte
1
Taulbjerg, Jes
1
Venardos, Emmanouil
1
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Institution
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Centre for Analytical Finance <Århus>
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
16
European University Institute / Department of Economics
7
Rodney L. White Center for Financial Research
7
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
6
Ekonomiska forskningsinstitutet <Stockholm>
6
Internationaler Währungsfonds / Research Department
6
Birkbeck College / Department of Economics
5
Institute of Finance and Accounting <London>
5
Svenska Handelshögskolan <Helsinki>
5
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
4
Instituto Valenciano de Investigaciones Económicas
4
The Wharton Financial Institutions Center
4
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
3
Federal Reserve System / Division of Research and Statistics
3
Forschungsinstitut zur Zukunft der Arbeit
3
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
3
University of Exeter / Department of Economics
3
Université de Montréal / Département de sciences économiques
3
Brown University / Department of Economics
2
Center for Economic Research <Tilburg>
2
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification <Paris>
2
Centre for Actuarial Studies
2
Centre for Growth and Business Cycle Research <Manchester>
2
Danmarks Nationalbank
2
Erasmus Research Institute of Management
2
Federal Reserve Bank of Cleveland
2
Federal Reserve Bank of New York
2
Federal Reserve Bank of San Francisco
2
Georgetown University / Economics Department
2
Goethe-Universität Frankfurt am Main
2
Institut für Weltwirtschaft
2
International Monetary Fund
2
Internationaler Währungsfonds / Western Hemisphere Department
2
Judge Institute of Management Studies
2
Kansantaloustieteen Laitos <Tampere>
2
Københavns Universitet / Økonomisk Institut
2
Massachusetts Institute of Technology / Department of Economics
2
School of Economics and Finance <Brisbane>
2
Shakai-Keizai-Kenkyūsho <Osaka>
2
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
10
Source
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ECONIS (ZBW)
10
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1
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
2
Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
Saved in:
3
Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
Saved in:
4
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
Saved in:
5
Parametric inference for diffusion processes observed at discrete points in time : a survey
Sørensen, Helle
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702316
Saved in:
6
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
7
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
8
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
9
New evidence on the implied-realized volatility relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
Saved in:
10
Simulated likelihood approximations for stochastic volatility models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
Saved in:
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