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type_genre:"Arbeitspapier"
type_genre:"Series"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"CREATES research paper"
~subject:"Stochastic process"
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Podolskij, Mark
10
Barndorff-Nielsen, Ole E.
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Veraart, Almut E. D.
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Pakkanen, Mikko S.
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Bauwens, Luc
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Veliyev, Bezirgen
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CORE discussion papers : DP
CREATES research paper
Discussion paper / Tinbergen Institute
71
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50
SFB 649 discussion paper
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Report / Econometric Institute, Erasmus University Rotterdam
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ECONIS (ZBW)
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1
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
2
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
3
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
-
2019
Persistent link: https://www.econbiz.de/10012215031
Saved in:
4
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
-
2018
Persistent link: https://www.econbiz.de/10011913657
Saved in:
5
Edgeworth expansion for Euler approximation of continuous diffusion processes
Podolskij, Mark
;
Veliyev, Bezirgen
;
Yoshida, Nakahiro
-
2018
Persistent link: https://www.econbiz.de/10011946254
Saved in:
6
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
7
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
Saved in:
8
An asynchronous distributed algorithm for solving stochastic unit commitment
Aravena, Ignacio
;
Papavasiliou, Anthony
-
2016
Persistent link: https://www.econbiz.de/10011894419
Saved in:
9
SDEs with uniform distributions : peacocks, conic martingales and mean reverting uniform diffusions
Brigo, Damiano
;
Jeanblanc, Monique
;
Vrins, Frédéric
-
2016
-
This version: December 9, 2016
Persistent link: https://www.econbiz.de/10011894452
Saved in:
10
Estimation of the global regularity of a multifractional Brownian motion
Lebovits, Joachim
;
Podolskij, Mark
-
2016
Persistent link: https://www.econbiz.de/10011573309
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