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Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data
Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10011431109
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Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling
Nonejad, Nima - In: Economics letters 133 (2015), pp. 35-39
Persistent link: https://www.econbiz.de/10011431849
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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896
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A hybrid data cloning maximum likelihood estimator for stochastic volatility models
Laurini, Márcio Poletti - In: Journal of time series econometrics 5 (2013) 2, pp. 193-229
Persistent link: https://www.econbiz.de/10010225441
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Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
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Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Niu, Wei-fang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 421-438
Persistent link: https://www.econbiz.de/10009787977
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CVaR (superquantile) norm : stochastic case
Mafusalov, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 249 (2016) 1, pp. 200-208
Persistent link: https://www.econbiz.de/10011435796
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Asymptotic behaviors of stochastic reserving : aggregate versus individual models
Huang, Jinlong; Wu, Xianyi; Zhou, Xian - In: European journal of operational research : EJOR 249 (2016) 2, pp. 657-666
Persistent link: https://www.econbiz.de/10011436805
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Determinants of inflation in India
Mohanty, Deepak; John, Joice - In: Journal of Asian economics 36 (2015), pp. 86-96
Persistent link: https://www.econbiz.de/10011443398
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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810