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~isPartOf:"CREATES research paper"
~subject:"Analysis"
~subject:"Estimation theory"
~subject:"Volatilität"
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Search: subject_exact:"Bernoulli process"
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Analysis
Estimation theory
Volatilität
Stochastic process
60
Stochastischer Prozess
60
Theorie
35
Theory
35
Volatility
22
Schätztheorie
15
Time series analysis
11
Zeitreihenanalyse
11
Estimation
7
Modellierung
7
Schätzung
7
Scientific modelling
7
Martingal
5
Martingale
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Yield curve
5
Zinsstruktur
5
ARCH model
4
ARCH-Modell
4
Bayes-Statistik
4
Bayesian inference
4
CAPM
4
Option pricing theory
4
Optionspreistheorie
4
Forecasting model
3
Mathematical analysis
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Prognoseverfahren
3
Autocorrelation
2
Autokorrelation
2
Capital income
2
Dynamic equilibrium
2
Dynamisches Gleichgewicht
2
Electricity price
2
Euro area
2
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36
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36
Graue Literatur
36
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36
Working Paper
36
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English
36
Author
All
Barndorff-Nielsen, Ole E.
5
Pakkanen, Mikko S.
4
Podolskij, Mark
4
Veraart, Almut E. D.
4
Bennedsen, Mikkel
3
Lunde, Asger
3
Andersen, Torben
2
Christensen, Bent Jesper
2
Corcuera, José Manual
2
Grassi, Stefano
2
Kristensen, Dennis
2
Nielsen, Morten Ørregaard
2
Santucci de Magistris, Paolo
2
Sørensen, Michael
2
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Baltazar-Larios, Fernando
1
Benth, Fred Espen
1
Benzoni, Luca
1
Bolko, Anine E.
1
Christensen, Kim
1
Christoffersen, Peter F.
1
Creel, Michael D.
1
Exterkate, Peter
1
Fissler, Tobias
1
Floor Brix, Anne
1
Fusari, Nicola
1
Guégan, Dominique
1
Heston, Steven L.
1
Jacobs, Kris
1
Kanaya, Shin
1
Knapik, Oskar
1
Neri, Luca
1
Nielsen, Frank
1
Papapantoleon, Antonis
1
Parra-Alvarez, Juan Carlos
1
Pelletier, Denis
1
Posedel Šimović, Petra
1
Proietti, Tommaso
1
Rosenbaum, Mathieu
1
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CREATES research paper
International journal of theoretical and applied finance
148
Journal of econometrics
128
Quantitative finance
96
Applied mathematical finance
67
Discussion paper / Tinbergen Institute
66
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
The journal of computational finance
59
Finance and stochastics
57
Insurance / Mathematics & economics
57
Mathematical finance : an international journal of mathematics, statistics and financial theory
57
Computational economics
54
Econometric reviews
53
Journal of economic dynamics & control
52
European journal of operational research : EJOR
50
Journal of mathematical finance
48
Working paper
41
Finance research letters
40
International journal of financial engineering
39
Economics letters
38
Journal of banking & finance
37
Risks : open access journal
36
Annals of finance
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Economic modelling
32
Energy economics
32
Journal of empirical finance
32
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
31
Discussion papers of interdisciplinary research project 373
31
The journal of futures markets
31
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
30
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
CAMA working paper series
24
Review of derivatives research
24
Econometrics : open access journal
23
Mathematics of operations research
23
SFB 649 discussion paper
23
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ECONIS (ZBW)
36
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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
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:
4
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
5
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
6
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:
7
Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
-
2016
Persistent link: https://www.econbiz.de/10011524100
Saved in:
8
A Jump-diffusion model with stochastic volatility and durations
Wei, Wei
;
Pelletier, Denis
-
2015
Persistent link: https://www.econbiz.de/10011327726
Saved in:
9
Functional limit theorems for generalized variations of the fractional Brownian sheet
Pakkanen, Mikko S.
;
Réveillac, Anthony
-
2014
Persistent link: https://www.econbiz.de/10010346664
Saved in:
10
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
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