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~person:"Levendorskij, Sergej Z."
~person:"Yu, Jun"
~subject:"Real options analysis"
~subject:"Stochastischer Prozess"
~subject:"Theory"
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Real options analysis
Stochastischer Prozess
Theory
Stochastic process
55
Theorie
35
Volatility
23
Volatilität
23
Option pricing theory
17
Optionspreistheorie
17
Time series analysis
12
Zeitreihenanalyse
12
Bayes-Statistik
7
Bayesian inference
7
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Option trading
6
Optionsgeschäft
6
Estimation theory
5
Lévy processes
5
Markov chain
5
Markov-Kette
5
Monte Carlo simulation
5
Monte-Carlo-Simulation
5
Schätztheorie
5
Decision under uncertainty
4
Entscheidung unter Unsicherheit
4
Estimation
4
Forecasting model
4
Fractional Brownian motion
4
Prognoseverfahren
4
Schätzung
4
Wiener-Hopf factorization
4
ARMA model
3
ARMA-Modell
3
Economy of time
3
Entscheidung bei Unsicherheit
3
Multivariate Analyse
3
Multivariate analysis
3
Optimales Stoppen
3
Realoptionsansatz
3
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Article
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English
58
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Levendorskij, Sergej Z.
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
Chan, Joshua
37
Fabozzi, Frank J.
37
Shephard, Neil G.
37
Gao, Jiti
35
Todorov, Viktor
34
Escobar, Marcos
33
Elliott, Robert J.
31
Hainaut, Donatien
31
Gendreau, Michel
30
Linton, Oliver
30
Gil-Alaña, Luis A.
29
Račev, Svetlozar T.
29
Wong, Hoi Ying
29
Clark, Todd E.
28
Siu, Tak Kuen
28
Carr, Peter
27
Wong, Wing Keung
27
Topaloglou, Nikolas
26
Wallace, Stein W.
26
Batabyal, Amitrajeet A.
25
Mumtaz, Haroon
25
Nguyen, Duy
25
Zhang, Qing
25
Bayraktar, Erhan
24
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Centre for Analytical Finance <Århus>
2
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Working paper series / Department of Economics, Auckland Business School, The University of Auckland
8
International journal of theoretical and applied finance
7
Journal of econometrics
6
Econometric reviews
4
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4
Global COE Hi-Stat discussion paper series
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Studies in economic theory
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
2
Annals of economics and finance
1
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1
Asia-Pacific financial markets
1
CAFE Research Paper
1
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1
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Economics letters
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
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1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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SpringerLink / Bücher
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Studies in Economic Theory
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ECONIS (ZBW)
57
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
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:
4
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:
5
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:
6
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
Saved in:
7
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:
8
Latent local-to-unity models
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
42
(
2023
)
7
,
pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
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
Random coefficient continuous systems : testing for extreme sample path behavior
Tao, Yubo
;
Phillips, Peter C. B.
;
Yu, Jun
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 208-237
Persistent link: https://www.econbiz.de/10012302568
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