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~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Algorithmus"
~subject:"Stochastischer Prozess"
~type_genre:"Working Paper"
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Algorithmus
Stochastischer Prozess
Volatility
32
Volatilität
32
Stochastic process
17
Theorie
13
Theory
13
Bayes-Statistik
11
Bayesian inference
11
Forecasting model
10
Prognoseverfahren
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Börsenkurs
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Markov-Kette
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State space model
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Time series analysis
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Schätztheorie
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Hawkes process
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Schätzung
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USA
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United States
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Dynamic price and volatility jumps
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Financial market
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3
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Martin, Gael M.
14
Forbes, Catherine Scipione
10
Maneesoonthorn, Worapree
8
Frazier, David T.
3
Loiza-Maya, Ruben
2
McCabe, Brendan Peter Martin
2
Wright, Jill
2
Zhang, Xibin
2
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1
Gao, Jiti
1
King, Maxwell L.
1
Li, Degui
1
McCabe, Brendon P. M.
1
Ng, Jason
1
Robert, Christian P.
1
Roberts, Christian P.
1
Silvapulle, Paramsothy
1
Strickland, Chris
1
Weerasinghe, Chaya
1
Yang, Zhenlin
1
Yu, Jun
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Working paper / Department of Econometrics and Business Statistics, Monash University
Discussion paper / Tinbergen Institute
58
Working paper
38
Research paper series / Swiss Finance Institute
29
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
23
CREATES research paper
22
Swiss Finance Institute Research Paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Econometric Institute research papers
13
SFB 649 discussion paper
12
Tinbergen Institute Discussion Paper
11
Working papers
11
CAMA working paper series
10
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10
Discussion papers of interdisciplinary research project 373
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Mathematical finance
10
Working paper / National Bureau of Economic Research, Inc.
10
Federal Reserve Bank of Cleveland working paper series
9
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8
Documento de trabajo
8
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8
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
8
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6
ERID working paper
6
Global COE Hi-Stat discussion paper series
6
SFB 649 Discussion Paper
6
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6
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5
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
4
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
4
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ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
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:
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
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:
6
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:
7
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:
8
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:
9
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
10
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:
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