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~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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Börsenkurs
Measurement
Monte-Carlo-Simulation
Theorie
United States
Volatilität
109
Volatility
106
Theory
46
Prognoseverfahren
39
Forecasting model
37
Capital income
35
Kapitaleinkommen
35
Stochastic process
30
Stochastischer Prozess
30
Zeitreihenanalyse
23
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22
Time series analysis
22
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21
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19
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18
Option pricing theory
17
Optionspreistheorie
17
ARCH model
16
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11
Bayesian inference
11
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Finanzmarkt
10
Statistical distribution
10
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CAPM
9
State space model
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Monte Carlo simulation
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Optionsgeschäft
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Markov-Kette
7
Option trading
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70
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Working Paper
Arbeitspapier
69
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62
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Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
McAleer, Michael
96
Caporale, Guglielmo Maria
45
Koopman, Siem Jan
44
Bollerslev, Tim
43
Gupta, Rangan
41
Diebold, Francis X.
40
Lux, Thomas
39
Hautsch, Nikolaus
34
Pierdzioch, Christian
31
Chang, Chia-Lin
30
Härdle, Wolfgang
27
Asai, Manabu
25
Chiarella, Carl
22
Davis, Steven J.
21
Lucas, André
21
Fernández-Villaverde, Jesús
20
Merkl, Christian
20
Spagnolo, Nicola
20
Bos, Charles S.
19
Bloom, Nicholas
18
Clark, Todd E.
18
Dijk, Dick van
18
Hafner, Christian M.
18
Herwartz, Helmut
18
Mumtaz, Haroon
18
Aizenman, Joshua
17
Bekaert, Geert
16
Christensen, Bent Jesper
16
Gil-Alaña, Luis A.
16
Mittnik, Stefan
16
Caporin, Massimiliano
15
Christiansen, Charlotte
15
Haltiwanger, John C.
15
Rubio-Ramírez, Juan Francisco
15
Clements, Adam
14
Guerrón-Quintana, Pablo A.
14
Lettau, Martin
14
Marcellino, Massimiliano
14
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2
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Working paper / Department of Econometrics and Business Statistics, Monash University
15
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15
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7
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5
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5
CFS working paper series
4
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3
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3
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2
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1
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1
Handbook of economic forecasting ; Vol. 1
1
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1
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ECONIS (ZBW)
70
EconStor
1
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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
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
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
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Frazier, David T.
; …
-
2020
Persistent link: https://www.econbiz.de/10012610795
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
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
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