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Monte Carlo simulation
Hawkes process
102
Theorie
49
Theory
49
Börsenkurs
42
Share price
42
Stochastic process
38
Stochastischer Prozess
38
Volatility
36
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Option pricing theory
14
Optionspreistheorie
14
Financial market
13
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13
Market microstructure
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Estimation
12
Schätzung
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Capital income
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Kapitaleinkommen
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Markov chain
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Markov-Kette
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Time series analysis
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Ansteckungseffekt
7
Bayesian Markov chain Monte Carlo
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Contagion effect
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Stochastic volatility
7
Aktienmarkt
6
EM algorithm
6
Monte-Carlo-Simulation
6
Securities trading
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Stock market
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Wertpapierhandel
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endogeneity
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self-exciting process
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English
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Forbes, Catherine Scipione
5
Maneesoonthorn, Worapree
5
Martin, Gael M.
5
Dassios, Angelos
1
Zhao, Hongbiao
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Working paper / Department of Econometrics and Business Statistics, Monash University
4
Journal of applied econometrics
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Operations research
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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
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4
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:
5
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:
6
Efficient simulation of clustering jumps with CIR intensity
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Operations research
65
(
2017
)
6
,
pp. 1494-1515
Persistent link: https://www.econbiz.de/10011777769
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