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~institution:"Centre for Analytical Finance <Århus>"
~institution:"Federal Reserve System / Division of Research and Statistics"
~institution:"Springer Fachmedien Wiesbaden"
~institution:"Springer-Verlag GmbH"
~institution:"World Bank"
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Testing the martingale restriction for option implied densities
Busch, Thomas
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2004
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
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The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg
(
contributor
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Lunde, Asger
(
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)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
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3
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
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)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
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4
Parametric inference for diffusion processes observed at discrete points in time : a survey
Sørensen, Helle
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contributor
)
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2002
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702316
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5
Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael
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contributor
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2002
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
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6
Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
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contributor
)
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2002
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
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7
Simulated likelihood approximations for stochastic volatility models
Sørensen, Helle
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contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
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8
Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002106417
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9
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
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contributor
)
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2003
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
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10
Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter
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contributor
)
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2002
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
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