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~person:"Maneesoonthorn, Worapree"
~subject:"Volatilität"
~subject:"Zeitreihenanalyse"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Volatilität
Zeitreihenanalyse
Bayes-Statistik
6
Bayesian inference
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Monte Carlo simulation
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Monte-Carlo-Simulation
6
Volatility
6
Bayesian Markov chain Monte Carlo
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Börsenkurs
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Markov chain
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Markov-Kette
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Share price
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Stochastic process
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Stochastischer Prozess
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Dynamic price and volatility jumps
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Financial crisis
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Option pricing theory
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Optionspreistheorie
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Dynamic price jumps
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Maneesoonthorn, Worapree
Koopman, Siem Jan
19
Dijk, Herman K. van
12
Forbes, Catherine Scipione
9
Martin, Gael M.
9
Casarin, Roberto
7
Kunst, Robert M.
7
McAleer, Michael
7
Ravazzolo, Francesco
7
Strachan, Rodney W.
7
Chiarella, Carl
6
Gil-Alaña, Luis A.
6
Lucas, André
6
Scaillet, Olivier
6
Dijk, Dick van
5
Kang, Boda
5
Reed, W. Robert
5
Sibbertsen, Philipp
5
Asai, Manabu
4
Bos, Charles S.
4
Caporale, Guglielmo Maria
4
Grassi, Stefano
4
Kapetanios, George
4
Korobilis, Dimitris
4
León-González, Roberto
4
Omori, Yasuhiro
4
Ooms, Marius
4
Pesaran, M. Hashem
4
Pick, Andreas
4
Scharth, Marcel
4
Schröder, Maximilian
4
Timmermann, Allan
4
Chan, Joshua
3
Doucet, Arnaud
3
Li, Yushu
3
Plastun, Alex
3
Trojan, Sebastian
3
Trojani, Fabio
3
Abanto-Valle, Carlos A.
2
Bajgrowicz, Pierre
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Working paper / Department of Econometrics and Business Statistics, Monash University
6
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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
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
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