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~person:"Maneesoonthorn, Worapree"
~subject:"Bayesian inference"
~subject:"United States"
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Bayesian inference
United States
Bayes-Statistik
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Volatility
8
Volatilität
8
Bayesian Markov chain Monte Carlo
6
Börsenkurs
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Markov chain
6
Markov-Kette
6
Share price
6
State space model
6
Stochastic process
6
Stochastischer Prozess
6
Zustandsraummodell
6
Hawkes process
5
Dynamic price and volatility jumps
4
Financial crisis
4
Financial market
4
Finanzkrise
4
Finanzmarkt
4
Global financial crisis
4
Nichtparametrisches Verfahren
4
Nonlinear state space model
4
Nonparametric statistics
4
Stochastic volatility
4
Theorie
4
Theory
4
CAPM
2
Capital income
2
Discretized jump diffusion model
2
Forecasting model
2
Kapitaleinkommen
2
Nonparametric jump measures
2
Option pricing theory
2
Optionspreistheorie
2
Price jump tests
2
Prognoseverfahren
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Risikoprämie
2
Risk premium
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Maneesoonthorn, Worapree
Dijk, Herman K. van
38
Tsionas, Efthymios G.
29
Koopman, Siem Jan
21
Ravazzolo, Francesco
17
Casarin, Roberto
16
Martin, Gael M.
16
Forbes, Catherine Scipione
15
Geweke, John
15
Hoogerheide, Lennart
15
Hoogerheide, Lennart F.
15
Kotlikoff, Laurence J.
13
Koop, Gary
12
Peters, Gareth
12
Strachan, Rodney W.
12
Grassi, Stefano
11
Kneib, Thomas
11
Nason, James Michael
11
van Dijk, H. K.
11
Asai, Manabu
10
Dufays, Arnaud
10
Hecq, Alain W. J.
10
Kohn, Robert
10
Lang, Stefan
10
Li, Yong
10
Dixon, Peter B.
9
Leon-Gonzalez, Roberto
9
McAleer, Michael
9
Rimmer, Maureen T.
9
Schorfheide, Frank
9
Zhang, Xibin
9
Basturk, Nalan
8
Bauwens, Luc
8
Chib, Siddhartha
8
Kano, Takashi
8
Ando, Tomohiro
7
Fischer, Manfred M.
7
Frühwirth-Schnatter, Sylvia
7
Gokhale, Jagadeesh
7
Korobilis, Dimitris
7
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Working paper / Department of Econometrics and Business Statistics, Monash University
6
Journal of applied econometrics
1
Journal of econometrics
1
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ECONIS (ZBW)
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1
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
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
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
7
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
Saved in:
8
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
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