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~subject:"Monte-Carlo-Simulation"
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Monte-Carlo-Simulation
Markov chain Monte Carlo
6
particle filter
6
Time series analysis
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Volatility
4
Volatilität
4
Zeitreihenanalyse
4
block sampler
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non-Gaussian and nonlinear state space model
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regime switching
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Estimation
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Markov chain
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Markov-Kette
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Monte Carlo simulation
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Schätzung
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State space model
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Stochastic process
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Stochastic volatility
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Stochastischer Prozess
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Zustandsraummodell
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Cholesky decomposition
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Generalized Hyperbolic skew Student-t distribution
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Multivariate stochastic volatility
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Statistical distribution
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Statistische Verteilung
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Theorie
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Theory
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adaptive Metropolis
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cross leverage
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dynamic correlation
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event time
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generalized gamma distribution
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mixing distribution
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negative binomial distribution
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nonlinear state space model
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realized volatility
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stochastic conditional duration
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tick data
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Bayes-Statistik
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English
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Trojan, Sebastian
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
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ECONIS (ZBW)
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian
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2014
Persistent link: https://www.econbiz.de/10010437483
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Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian
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2014
Persistent link: https://www.econbiz.de/10010437486
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3
Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian
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2013
Persistent link: https://www.econbiz.de/10010243571
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