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Kapitaleinkommen
Theorie
7
Stochastischer Prozess
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Stochastic process
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Theory
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Common stochastic variance
4
Kalman filter
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Risikoprämie
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stochastic variance
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unobserved components time series model
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change of measure
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continuous autoregressive model
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diffusion
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forecasting stochastic variance
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market price of risk
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risk premium
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seasonality
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weather forecasting
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weather risk
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Mijatovi´c, Aleksandar
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Schneider, Paul
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Kikuchi, Kentaro
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Kusuda, Koji
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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Regularized robust strategic asset allocation under
stochastic
variance
-covariance of asset returns
Kikuchi, Kentaro
;
Kusuda, Koji
-
2024
Persistent link: https://www.econbiz.de/10014549549
Saved in:
2
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
-
2009
Persistent link: https://www.econbiz.de/10009428004
Saved in:
3
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
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