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~person:"Elliott, Robert J."
~person:"Martin, Gael M."
~subject:"ARCH model"
~subject:"Volatilität"
~type_genre:"Arbeitspapier"
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Elliott, Robert J.
Martin, Gael M.
Bauwens, Luc
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Lütkepohl, Helmut
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Meitz, Mika
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Saikkonen, Pentti
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Lux, Thomas
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Forbes, Catherine Scipione
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Maneesoonthorn, Worapree
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Netšunajev, Aleksei
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Billio, Monica
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Bos, Charles S.
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King, Maxwell L.
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Preminger, Arie
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Asai, Manabu
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Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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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
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2
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:
3
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:
4
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:
5
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:
6
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris
;
Martin, Gael M.
;
Forbes, Catherine …
-
2006
Persistent link: https://www.econbiz.de/10003433826
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