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~isPartOf:"Applied economics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Chan, Jennifer S. K."
~person:"Kim, Jong-Min"
~person:"Nayga, Rodolfo M."
~person:"Pathak, Rajesh"
~person:"Qin, Li"
~subject:"Börsenkurs"
~subject:"Estimation"
~subject:"Kapitaleinkommen"
~subject:"Stochastic process"
~subject:"Theorie"
~subject:"Theory"
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Börsenkurs
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Stochastic process
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Stochastischer Prozess
4
Volatility
4
Volatilität
4
stochastic volatility
4
ARCH model
1
ARCH-Modell
1
Bayes-Statistik
1
Bayesian inference
1
Bitcoin
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Electronic money
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Elektronisches Geld
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GARCH
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MCMC
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Monte Carlo simulation
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Oil and commodity prices
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common volatility factor
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cryptocurrency
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long memory
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Chan, Jennifer S. K.
Kim, Jong-Min
Nayga, Rodolfo M.
Pathak, Rajesh
Qin, Li
Andreasen, Martin Møller
1
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Bekierman, Jeremias
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Applied economics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Economics letters
1
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Modelling the dynamics of Bitcoin and Litecoin : GARCH versus
stochastic
volatility
models
Tiwari, Aviral Kumar
;
Kumar, Satish
;
Pathak, Rajesh
- In:
Applied economics
51
(
2019
)
37
,
pp. 4073-4082
Persistent link: https://www.econbiz.de/10012196960
Saved in:
2
Bayesian estimation of Gegenbauer long memory processes with
stochastic
volatility
: methods and applications
Phillip, Andrew
;
Chan, Jennifer S. K.
;
Peiris, Shelton
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011897536
Saved in:
3
A common factor of stochastic volatilities between oil and commodity prices
Lee, Eunhee
;
Han, Doo Bong
;
Nayga, Rodolfo M.
- In:
Applied economics
49
(
2017
)
22
,
pp. 2203-2215
Persistent link: https://www.econbiz.de/10011817276
Saved in:
4
A new generalized volatility proxy via the
stochastic
volatility
model
Kim, Jong-Min
;
Jung, Hojin
;
Qin, Li
- In:
Applied economics
49
(
2017
)
23
,
pp. 2259-2268
Persistent link: https://www.econbiz.de/10011817347
Saved in:
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