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Search: subject:"stochastic volatility models"
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Bayesian inference
Volatilität
73
Volatility
72
Stochastischer Prozess
71
Stochastic process
69
Stochastic volatility models
56
Optionspreistheorie
49
stochastic volatility models
49
Option pricing theory
48
Theorie
18
Option trading
16
Optionsgeschäft
16
Theory
16
Experiment
15
Stochastic Volatility Models
13
Monte Carlo simulation
12
Option pricing
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Estimation
11
Schätzung
11
Derivat
9
Derivative
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Monte-Carlo-Simulation
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Time series analysis
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Zeitreihenanalyse
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Malliavin calculus
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ARCH model
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ARCH-Modell
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Financial market
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Finanzmarkt
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Hedging
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option pricing
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Bayes-Statistik
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Calibration
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Markov chain
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Markov-Kette
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Statistical distribution
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Statistische Verteilung
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Bayes factor
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Black-Scholes model
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Li, Yong
2
Achcar, Jorge Alberto
1
Barossi Filho, Milton
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Bera, Anil K.
1
Bertschinger, Nils
1
Chen, Zhong-Tian
1
Cuervo, Edilberto Cepeda
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Doğan, Osman
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Huang, Jing-Zhi
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Mozzhorin, Iurii
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Taṣpınar, Süleyman
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Xu, Li
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Annals of economics and finance
1
Computational economics
1
Economia aplicada : EA
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Journal of economic interaction and coordination
1
The quarterly journal of finance
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ECONIS (ZBW)
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1
Bayesian estimation and likelihood-based comparison of agent-based volatility models
Bertschinger, Nils
;
Mozzhorin, Iurii
- In:
Journal of economic interaction and coordination
16
(
2021
)
1
,
pp. 173-210
Persistent link: https://www.econbiz.de/10012428422
Saved in:
2
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman
;
Taṣpınar, Süleyman
;
Bera, Anil K.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
5
,
pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
Saved in:
3
Bayesian testing for leverage effect in
stochastic
volatility
models
Zhang, Jin-Yu
;
Chen, Zhong-Tian
;
Li, Yong
- In:
Computational economics
53
(
2019
)
3
,
pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
Saved in:
4
An improved Bayesian unit root test in
stochastic
volatility
models
Li, Yong
;
Yu, Jun
- In:
Annals of economics and finance
20
(
2019
)
1
,
pp. 103-122
Persistent link: https://www.econbiz.de/10012110029
Saved in:
5
New volatility models under a Bayesian perspective : a case study
Cuervo, Edilberto Cepeda
;
Achcar, Jorge Alberto
; …
- In:
Economia aplicada : EA
18
(
2014
)
2
,
pp. 179-197
Persistent link: https://www.econbiz.de/10011449738
Saved in:
6
Stochastic
volatility
models
for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi
;
Xu, Li
- In:
The quarterly journal of finance
4
(
2014
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
Saved in:
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