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~person:"Forbes, Catherine Scipione"
~subject:"Bayesian Markov chain Monte Carlo"
~type_genre:"Case study"
~type_genre:"Graue Literatur"
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Bayesian Markov chain Monte Carlo
Monte Carlo simulation
12
Monte-Carlo-Simulation
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Bayes-Statistik
11
Bayesian inference
11
Markov chain
8
Markov-Kette
8
State space model
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Theorie
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Theory
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Volatility
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Volatilität
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Zustandsraummodell
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Stochastic process
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Stochastischer Prozess
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Börsenkurs
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Share price
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Hawkes process
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Dynamic price and volatility jumps
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Financial crisis
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Financial market
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Finanzkrise
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Finanzmarkt
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Global financial crisis
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Nichtparametrisches Verfahren
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Nonlinear state space model
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Nonparametric statistics
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Stochastic volatility
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CAPM
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Capital income
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Clustering
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Dirichlet Process Mixture
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Discretized jump diffusion model
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Forecasting
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Forecasting model
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Importance Sampling
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Induktive Statistik
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Kapitaleinkommen
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Non-Gaussian Time Series
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Nonparametric jump measures
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Forbes, Catherine Scipione
Maneesoonthorn, Worapree
5
Martin, Gael M.
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Working paper / Department of Econometrics and Business Statistics, Monash University
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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
Saved in:
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
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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:
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