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~person:"Levendorskij, Sergej Z."
~person:"Linton, Oliver"
~person:"Yu, Jun"
~subject:"Stochastischer Prozess"
~subject:"Theory"
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Search: subject_exact:"Stochastic process"
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Stochastischer Prozess
Theory
Stochastic process
85
Theorie
57
Volatility
29
Volatilität
29
Statistical test
18
Statistischer Test
18
Option pricing theory
17
Optionspreistheorie
17
Time series analysis
15
Zeitreihenanalyse
15
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Bootstrap approach
11
Bootstrap-Verfahren
11
Estimation theory
8
Schätztheorie
8
Statistical distribution
8
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8
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7
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7
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6
Maximum-Likelihood-Schätzung
6
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Option trading
6
Optionsgeschäft
6
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5
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Lévy processes
5
Markov chain
5
Markov-Kette
5
Capital structure
4
Decision under uncertainty
4
Entscheidung unter Unsicherheit
4
Estimation
4
Forecasting model
4
Fractional Brownian motion
4
Kapitalstruktur
4
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41
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English
88
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Levendorskij, Sergej Z.
Linton, Oliver
Yu, Jun
McAleer, Michael
93
Phillips, Peter C. B.
75
Koopman, Siem Jan
62
Chiarella, Carl
56
Platen, Eckhard
53
Sethi, Suresh
49
Barndorff-Nielsen, Ole E.
44
Cui, Zhenyu
44
Escudero, Laureano F.
44
Ferrari, Giorgio
42
Post, Thierry
41
Takahashi, Akihiko
41
Asai, Manabu
39
Madan, Dilip B.
38
Benth, Fred Espen
37
Fabozzi, Frank J.
37
Shephard, Neil G.
37
Chan, Joshua
36
Gao, Jiti
35
Todorov, Viktor
34
Escobar, Marcos
33
Elliott, Robert J.
31
Hainaut, Donatien
31
Gendreau, Michel
29
Gil-Alaña, Luis A.
29
Wong, Hoi Ying
29
Clark, Todd E.
28
Račev, Svetlozar T.
28
Siu, Tak Kuen
28
Carr, Peter
27
Wong, Wing Keung
27
Topaloglou, Nikolas
26
Batabyal, Amitrajeet A.
25
Mumtaz, Haroon
25
Nguyen, Duy
25
Wallace, Stein W.
25
Zhang, Qing
25
Bayraktar, Erhan
24
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Centre for Analytical Finance <Århus>
2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
2
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Journal of econometrics
9
Working paper series / Department of Economics, Auckland Business School, The University of Auckland
8
International journal of theoretical and applied finance
7
CEMMAP working papers / Centre for Microdata Methods and Practice
6
Cambridge working papers in economics
4
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Cambridge-INET working papers
3
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2
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2
Discussion papers of interdisciplinary research project 373
2
Economics letters
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Global COE Hi-Stat discussion paper series
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Studies in economic theory
2
The econometrics journal
2
Working paper / Department of Econometrics and Business Statistics, Monash University
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Asia-Pacific financial markets
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CAFE Research Paper
1
Cowles Foundation discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
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1
ERIM report series research in management
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics papers
1
Economic modelling
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Essays in honor of Joon Y. Park : econometric theory
1
Finance and stochastics
1
Games and economic behavior
1
Handbook of financial time series
1
Janeway Institute working paper series
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Quantitative finance
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ECONIS (ZBW)
87
USB Cologne (EcoSocSci)
1
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1
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
3
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
4
On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu
;
Zhang, Chen
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542217
Saved in:
5
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
6
On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu
;
Yu, Jun
;
Zhang, Chen
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 337-346
Persistent link: https://www.econbiz.de/10014552006
Saved in:
7
Consistent testing for an implication of supermodular dominance
Chung, Danbi
;
Linton, Oliver
;
Whang, Yoon-jae
-
2021
Persistent link: https://www.econbiz.de/10013257478
Saved in:
8
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:
9
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
10
Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 73-95)
.
2023
Persistent link: https://www.econbiz.de/10014313249
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