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~language:"eng"
~person:"Carr, Peter"
~person:"Frey, Bruno S."
~person:"Lien, Da-hsiang Donald"
~person:"Phillips, Peter C. B."
~person:"Stiglitz, Joseph E."
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
~type_genre:"Article"
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Stochastischer Prozess
Theorie
463
Theory
462
Estimation theory
101
Schätztheorie
101
Hedging
95
Time series analysis
91
Zeitreihenanalyse
91
Welt
77
World
76
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74
United States
74
Derivat
63
Derivative
63
Volatility
55
Volatilität
55
Estimation
53
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53
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50
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50
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49
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Carr, Peter
Frey, Bruno S.
Lien, Da-hsiang Donald
Phillips, Peter C. B.
Stiglitz, Joseph E.
Escudero, Laureano F.
40
McAleer, Michael
31
Escobar, Marcos
29
Gendreau, Michel
27
Siu, Tak Kuen
25
Fabozzi, Frank J.
24
Hainaut, Donatien
24
Wallace, Stein W.
22
Asai, Manabu
21
Benth, Fred Espen
21
Elliott, Robert J.
21
Wong, Wing Keung
21
Cui, Zhenyu
20
Madan, Dilip B.
20
Račev, Svetlozar T.
19
Todorov, Viktor
19
Tsionas, Efthymios G.
19
Wong, Hoi Ying
19
Yu, Jun
19
Shapiro, Alexander
18
Tauchen, George Eugene
18
Bayraktar, Erhan
17
Wang, Xingchun
17
Maggioni, Francesca
16
Rossi, Roberto
16
Takahashi, Akihiko
16
Tarim, S. Armagan
16
Chan, Joshua
15
Post, Thierry
15
Ulmer, Marlin Wolf
15
Chang, Hsu-Ling
14
Jeanblanc, Monique
14
Kim, Young Shin
14
Leung, Tim
14
Shen, Yang
14
Su, Chi-Wei
14
Chang, Tsangyao
13
Grasselli, Martino
13
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Journal of econometrics
9
Econometric theory
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of financial economics
3
Computational economics
2
Finance and stochastics
2
International journal of theoretical and applied finance
2
Review of derivatives research
2
The journal of derivatives : JOD
2
Advances in futures and options research : a research annual
1
Econometric reviews
1
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Journal of applied econometrics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial engineering
1
Journal of quantitative economics
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Risks : open access journal
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The European journal of finance
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The econometrics journal
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ECONIS (ZBW)
49
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1
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49
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1
Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
Saved in:
2
Semi-analytical pricing of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
3
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
4
An expanded Local Variance Gamma model
Carr, Peter
;
Itkin, Andrey
- In:
Computational economics
57
(
2021
)
4
,
pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
Saved in:
5
Pitfalls in bootstrapping spurious regression
Phillips, Peter C. B.
- In:
Journal of quantitative economics
19
(
2021
),
pp. 163-217
Persistent link: https://www.econbiz.de/10013441715
Saved in:
6
Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter
;
Itkin, Andrey
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
Saved in:
7
Hybrid stochastic local unit roots
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 257-285
Persistent link: https://www.econbiz.de/10012439454
Saved in:
8
Random coefficient continuous systems : testing for extreme sample path behavior
Tao, Yubo
;
Phillips, Peter C. B.
;
Yu, Jun
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 208-237
Persistent link: https://www.econbiz.de/10012302568
Saved in:
9
IV and GMM inference in endogenous stochastic unit root models
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Econometric theory
34
(
2018
)
5
,
pp. 1065-1100
Persistent link: https://www.econbiz.de/10011951461
Saved in:
10
Threshold regression asymptotics : from the compound Poisson process to two-sided Brownian motion
Yu, Ping
;
Phillips, Peter C. B.
- In:
Economics letters
172
(
2018
),
pp. 123-126
Persistent link: https://www.econbiz.de/10012022094
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