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~isPartOf:"CREATES research paper"
~subject:"Estimation"
~subject:"Mathematical analysis"
~subject:"Volatility"
~subject:"Zinsstruktur"
~type_genre:"Non-commercial literature"
~type_genre:"Thesis"
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Estimation
Mathematical analysis
Volatility
Zinsstruktur
Stochastic process
60
Stochastischer Prozess
60
Theorie
35
Theory
35
Volatilität
22
Estimation theory
15
Schätztheorie
15
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11
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11
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7
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Autocorrelation
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Barndorff-Nielsen, Ole E.
4
Veraart, Almut E. D.
4
Kristensen, Dennis
3
Podolskij, Mark
3
Andersen, Torben
2
Grassi, Stefano
2
Kruse, Robinson
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Papapantoleon, Antonis
2
Skovmand, David
2
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Baltazar-Larios, Fernando
1
Basse, Tobias
1
Bennedsen, Mikkel
1
Benth, Fred Espen
1
Benzoni, Luca
1
Bolko, Anine E.
1
Callot, Laurent
1
Christensen, Bent Jesper
1
Christensen, Kim
1
Christoffersen, Peter F.
1
Corcuera, José Manual
1
Creel, Michael D.
1
Exterkate, Peter
1
Fissler, Tobias
1
Floor Brix, Anne
1
Frömmel, Michael
1
Fusari, Nicola
1
Haldrup, Niels
1
Heston, Steven L.
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Kallestrup-Lamb, Malene
1
Kanaya, Shin
1
Knapik, Oskar
1
Mele, Antonio
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1
Posedel Šimović, Petra
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CREATES research paper
Discussion paper / Tinbergen Institute
59
Working paper
40
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
32
Research paper series / Swiss Finance Institute
32
Discussion papers of interdisciplinary research project 373
29
CAMA working paper series
26
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
26
SFB 649 discussion paper
19
Working paper / Department of Econometrics and Business Statistics, Monash University
17
Swiss Finance Institute Research Paper
16
CESifo working papers
13
Econometric Institute research papers
12
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10
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7
Finance and economics discussion series
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
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CARF working paper
5
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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
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
4
The walking debt crisis
Basse, Tobias
;
Kruse, Robinson
;
Wegener, Christoph
-
2017
Persistent link: https://www.econbiz.de/10011624094
Saved in:
5
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:
6
A Jump-diffusion model with stochastic volatility and durations
Wei, Wei
;
Pelletier, Denis
-
2015
Persistent link: https://www.econbiz.de/10011327726
Saved in:
7
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, Tobias
;
Podolskij, Mark
-
2014
Persistent link: https://www.econbiz.de/10010442414
Saved in:
8
Deterministic and stochastic trends in the Lee-Carter mortality model
Callot, Laurent
;
Haldrup, Niels
;
Kallestrup-Lamb, Malene
-
2014
Persistent link: https://www.econbiz.de/10010433248
Saved in:
9
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
Saved in:
10
It’s all about volatility (of volatility) : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2013
Persistent link: https://www.econbiz.de/10009712566
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