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~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~person:"Koskela, Erkki"
~person:"Lucas, André"
~person:"Maneesoonthorn, Worapree"
~person:"McAleer, Michael"
~person:"Mumtaz, Haroon"
~person:"Phillips, Peter C. B."
~person:"Seo, Myung Hwan"
~subject:"Estimation theory"
~subject:"Holzeinschlag"
~subject:"Schätzung"
~subject:"Stochastic process"
~subject:"Suchtheorie"
~subject:"Theory"
~subject:"Time series analysis"
~subject:"Volatilität"
~type_genre:"Arbeitspapier"
~type_genre:"Non-commercial literature"
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Search: subject:"Stochastisches Modell "
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Estimation theory
Holzeinschlag
Schätzung
Stochastic process
Suchtheorie
Theory
Time series analysis
Volatilität
Stochastischer Prozess
11
Volatility
8
Theorie
7
Bayes-Statistik
6
Bayesian inference
6
Börsenkurs
6
Share price
6
Bayesian Markov chain Monte Carlo
5
Markov chain
5
Markov-Kette
5
Monte Carlo simulation
5
Monte-Carlo-Simulation
5
State space model
5
Zustandsraummodell
5
Hawkes process
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Zeitreihenanalyse
4
CAPM
3
Dynamic price and volatility jumps
3
Financial crisis
3
Financial market
3
Finanzkrise
3
Finanzmarkt
3
Forecasting model
3
Global financial crisis
3
Nonlinear state space model
3
Nonparametric jump measures
3
Option pricing theory
3
Optionspreistheorie
3
Price jump tests
3
Prognoseverfahren
3
Stochastic volatility
3
Capital income
2
Discretized jump diffusion model
2
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Koskela, Erkki
Lucas, André
Maneesoonthorn, Worapree
McAleer, Michael
Mumtaz, Haroon
Phillips, Peter C. B.
Seo, Myung Hwan
Gao, Jiti
15
Martin, Gael M.
15
Forbes, Catherine Scipione
10
Dong, Chaohua
5
Zhang, Xibin
5
Frazier, David T.
3
King, Maxwell L.
3
McCabe, Brendan Peter Martin
3
Pan, Guangming
3
Koo, Bonsoo
2
Loiza-Maya, Ruben
2
Tse, Yiu Kuen
2
Wright, Jill
2
Yang, Yanrong
2
Yu, Jun
2
Zhang, Bo
2
Akram, Muhammad
1
Anderson, Heather M.
1
Athanasopoulos, George
1
Beaumont, Adrian
1
Chen, Xiangjin B.
1
De Silva, Ashton
1
Li, Degui
1
McCabe, Brendon P. M.
1
Ng, Jason
1
Ord, John Keith
1
Robert, Christian P.
1
Roberts, Christian P.
1
Robinson, Peter M.
1
Saart, Patrick
1
Silvapulle, Paramsothy
1
Snyder, Ralph D.
1
Strickland, Chris
1
Tjøstheim, Dag
1
Tremayne, Andrew R.
1
Vahid, Farshid
1
Weerasinghe, Chaya
1
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Working paper / Department of Econometrics and Business Statistics, Monash University
Discussion paper / Tinbergen Institute
30
Working paper
23
Cowles Foundation discussion paper
22
Econometric Institute research papers
16
CESifo working papers
4
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
3
Discussion papers / Department of Economics, University of Helsinki
2
Neyar diyun / ham- Merkāz le-Fittûaḥ 'al Šēm P. Sapir
2
Working paper series / Department of Economics, Auckland Business School, The University of Auckland
2
Working papers / Bank of England
2
Working papers in economics and econometrics
2
Cambridge working papers in economics
1
Cambridge-INET working papers
1
Cardiff economics working papers
1
Discussion paper / Faculty of Social Sciences, Department of Economics, University of Helsinki
1
Discussion paper / Institute of Social and Economic Research
1
Economics working paper series
1
Global COE Hi-Stat discussion paper series
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Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
SIER working paper series
1
School of Accounting, Finance and Economics & FEMARC working paper series
1
School of Economics working papers / The University of Adelaide, School of Economics
1
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
2
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
3
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
4
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
5
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
6
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
7
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
8
Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo
;
Seo, Myung Hwan
-
2013
-
Rev. ed.
Persistent link: https://www.econbiz.de/10009740804
Saved in:
9
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
10
Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo
;
Seo, Myung Hwan
-
2013
Persistent link: https://www.econbiz.de/10009724649
Saved in:
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