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~isPartOf:"CREATES research paper"
~isPartOf:"Economic modelling"
~subject:"Estimation theory"
~subject:"Markov-Kette"
~subject:"Volatilität"
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Search: subject_exact:"Bernoulli process"
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Estimation theory
Markov-Kette
Volatilität
Stochastic process
141
Stochastischer Prozess
141
Theorie
76
Theory
76
Volatility
42
Schätztheorie
28
Time series analysis
26
Zeitreihenanalyse
26
Estimation
25
Schätzung
25
Option pricing theory
21
Optionspreistheorie
21
Yield curve
14
Zinsstruktur
14
Markov chain
11
Stochastic volatility
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Einheitswurzeltest
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Maximum likelihood estimation
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ARCH-Modell
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English
68
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Barndorff-Nielsen, Ole E.
4
Pakkanen, Mikko S.
4
Podolskij, Mark
4
Bennedsen, Mikkel
3
Lunde, Asger
3
Siu, Tak Kuen
3
Veraart, Almut E. D.
3
Andersen, Torben
2
Christensen, Bent Jesper
2
Corcuera, José Manual
2
Grassi, Stefano
2
Kristensen, Dennis
2
Li, Yong
2
Nielsen, Morten Ørregaard
2
Santucci de Magistris, Paolo
2
Shen, Yang
2
Acocella, Nicola
1
Agliardi, Rosella
1
Alleva, Giorgio
1
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Balke, Nathan S.
1
Bao Hoang Nguyen
1
Benzoni, Luca
1
Beqiraj, Elton
1
Berument, Hakan
1
Bolko, Anine E.
1
Bu, Ruijun
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Chen, Junping
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Chen, Shyh-Wei
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Cheng, Jie
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Ching, Wai Ki
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Choi, Sun-Yong
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Chong, Terence Tai-Leung
1
Christensen, Kim
1
Christoffersen, Peter F.
1
Creel, Michael D.
1
Cross, Jamie
1
Degiannakis, Stavros
1
Desli, Evangelia
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CREATES research paper
Economic modelling
International journal of theoretical and applied finance
151
Journal of econometrics
130
Quantitative finance
97
European journal of operational research : EJOR
83
Applied mathematical finance
68
Discussion paper / Tinbergen Institute
66
Insurance / Mathematics & economics
62
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
Finance and stochastics
57
Computational economics
56
The journal of computational finance
56
Econometric reviews
55
Journal of economic dynamics & control
52
Mathematical finance : an international journal of mathematics, statistics and financial theory
51
Journal of mathematical finance
43
Finance research letters
42
Risks : open access journal
41
Working paper
40
Economics letters
39
International journal of financial engineering
38
Journal of banking & finance
37
Annals of finance
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Energy economics
33
Journal of empirical finance
32
The journal of futures markets
32
Mathematics of operations research
31
Journal of risk and financial management : JRFM
29
Research paper series / Swiss Finance Institute
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
The North American journal of economics and finance : a journal of financial economics studies
27
Operations research
26
Review of derivatives research
26
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
25
CAMA working paper series
24
Econometrics : open access journal
23
Asia-Pacific financial markets
22
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
22
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ECONIS (ZBW)
68
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1
Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
2
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
3
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling
;
Lou, Zhusheng
- In:
Economic modelling
123
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
Saved in:
4
Testing for integration and cointegration when time series are observed with noise
Gianfreda, Angelica
;
Maranzano, Paolo
;
Parisio, Lucia
; …
- In:
Economic modelling
125
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463618
Saved in:
5
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:
6
Modelling persistent stationary processes in continuous time
Jeong, Minsoo
- In:
Economic modelling
109
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013348235
Saved in:
7
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
8
In no uncertain terms : the effect of uncertainty on credit frictions and monetary policy
Balke, Nathan S.
;
Martínez-García, Enrique
;
Zeng, Zheng
- In:
Economic modelling
100
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012795898
Saved in:
9
Forecasting natural gas prices using highly flexible time-varying parameter models
Gao, Shen
;
Hou, Chenghan
;
Bao Hoang Nguyen
- In:
Economic modelling
105
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013367152
Saved in:
10
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
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