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~person:"Creel, Michael D."
~person:"Todorov, Viktor"
~subject:"Jumps"
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Jumps
Stochastic process
37
Stochastischer Prozess
37
Volatility
37
Volatilität
37
Estimation
16
Schätzung
16
Time series analysis
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Zeitreihenanalyse
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stochastic volatility
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Creel, Michael D.
Todorov, Viktor
Li, Jia
4
Bollerslev, Tim
3
Aït-Sahalia, Yacine
2
Laurent, Sébastien
2
Laurini, Márcio Poletti
2
Li, Chenxu
2
Tauchen, George Eugene
2
Aiube, Fernando Antônio Lucena
1
Andersen, Torben
1
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1
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1
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1
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1
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1
Chaim, Pedro
1
Chan, Joshua
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Chaves, Leonardo Salim Saker
1
Chen, Liyuan
1
Chen, Rui
1
Chern, Shane
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Chorro, Christophe
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Clinet, Simon
1
Eom, Young Ho
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Erdemlioglu, Deniz
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Fernández Prada Saucedo, Jean Pierre
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Journal of econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial economics
1
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ECONIS (ZBW)
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Rank tests at jump events
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Lin, Huidi
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
Saved in:
2
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
3
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
4
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
5
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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