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How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
Veraart, Almut E. D.
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2010
Persistent link: https://www.econbiz.de/10008659414
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ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
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Kristensen, Dennis
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2014
Persistent link: https://www.econbiz.de/10010401691
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Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
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Kruse-Becher, Robinson
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2021
Persistent link: https://www.econbiz.de/10012620758
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Identification and estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos
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Posch, Olaf
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Wang, Mu-Chun
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2017
Persistent link: https://www.econbiz.de/10011750340
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Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos
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Posch, Olaf
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Wang, Mu-Chun
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2020
Persistent link: https://www.econbiz.de/10012317765
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo
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Santucci de Magistris, Paolo
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2009
Persistent link: https://www.econbiz.de/10003863181
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders
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Lange, Theis
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2009
Persistent link: https://www.econbiz.de/10003849498
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8
Quadratic variation by Markov chains
Hansen, Peter Reinhard
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Horel, Guillaume
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2009
Persistent link: https://www.econbiz.de/10003849527
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9
Adding and subtracting black-scholes : a new approach to approximating derivative prices in continuous time models
Kristensen, Dennis
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Mele, Antonio
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2009
Persistent link: https://www.econbiz.de/10003849531
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10
A meta-distribution for non-stationary samples
Guégan, Dominique
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2009
Persistent link: https://www.econbiz.de/10003849558
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