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~isPartOf:"Journal of econometrics"
~language:"eng"
~subject:"Option pricing theory"
~subject:"Statistical test"
~subject:"Stochastic process"
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Search: subject_exact:"Stochastisches Modell"
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Option pricing theory
Statistical test
Stochastic process
Stochastischer Prozess
218
Theorie
104
Theory
104
Volatility
104
Volatilität
104
Time series analysis
70
Zeitreihenanalyse
70
Estimation theory
61
Schätztheorie
61
Estimation
46
Schätzung
46
Stochastic volatility
30
ARCH model
27
ARCH-Modell
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Statistical distribution
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Statistische Verteilung
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Optionspreistheorie
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Börsenkurs
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22
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14
Unit root test
14
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13
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Todorov, Viktor
11
Phillips, Peter C. B.
9
Tauchen, George Eugene
8
McAleer, Michael
7
Yu, Jun
6
Park, Joon Y.
5
Asai, Manabu
4
Bollerslev, Tim
4
Chang, Chia-Lin
4
Lieberman, Offer
4
Zakoïan, Jean-Michel
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Chan, Joshua
3
Clark, Todd E.
3
Francq, Christian
3
Horváth, Lajos
3
Jin, Sainan
3
Li, Jia
3
Linton, Oliver
3
Marcellino, Massimiliano
3
Renault, Eric
3
Shephard, Neil G.
3
Taylor, Robert
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2
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2
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2
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2
Gallant, A. Ronald
2
Ghysels, Eric
2
Giesecke, Kay
2
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2
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2
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Journal of econometrics
European journal of operational research : EJOR
635
International journal of theoretical and applied finance
324
Insurance / Mathematics & economics
282
Finance and stochastics
196
Computers & operations research : and their applications to problems of world concern ; an international journal
181
Operations research
171
International journal of production research
169
Quantitative finance
165
Operations research letters
164
Mathematics of operations research
156
Journal of economic dynamics & control
140
Discussion paper / Tinbergen Institute
125
Risks : open access journal
124
International journal of production economics
123
Applied mathematical finance
119
Mathematical finance : an international journal of mathematics, statistics and financial theory
115
Computational economics
110
The journal of computational finance
106
Economics letters
96
Journal of mathematical finance
89
Econometric reviews
86
Management science : journal of the Institute for Operations Research and the Management Sciences
85
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
84
Economic modelling
81
Energy economics
81
Transportation research / E : an international journal
81
International journal of financial engineering
80
INFORMS journal on computing : JOC
79
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
79
Annals of operations research
77
Finance research letters
77
Mathematical methods of operations research
77
Omega : the international journal of management science
76
Computational Management Science : CMS
73
Journal of banking & finance
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Journal of economic theory
71
Working paper
71
Annals of finance
69
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ECONIS (ZBW)
218
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1
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
2
Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco
;
Nientker, Marc
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
Saved in:
3
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
4
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
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5
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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7
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
8
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
9
Spatial econometrics for misaligned data
Pouliot, Guillaume Allaire
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 168-190
Persistent link: https://www.econbiz.de/10013472883
Saved in:
10
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
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