Similar Search Results - EconBiz

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10009570666

Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-zhong; Li, Kai - In: Journal of economic dynamics & control 48 (2014), pp. 349-373

Persistent link: https://www.econbiz.de/10010486646

Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models

Hambly, Ben; Kalsi, Jasdeep; Newbury, James - In: Applied mathematical finance 27 (2020) 1/2, pp. 132-170

Persistent link: https://www.econbiz.de/10012254111

Essays on market frictions and model misspecification in asset pricing

Seeger, Norman - 2009

Persistent link: https://www.econbiz.de/10003863665

A long-run relationship between stock price index and exchange rate : a structural nonparametric cointegration regression approach

Tsagkanos, Athanasios; Siriopoulos, Costas - In: Journal of international financial markets, … 25 (2013), pp. 106-118

Persistent link: https://www.econbiz.de/10009762800

Time-changed GARCH versus GARJI model for extreme events : an empirical study

Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de/10015046799

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178

Persistent link: https://www.econbiz.de/10012194752

Volatility analysis and asset pricing of stock portfolios : an empirical approach in applied financial econometrics

Grobys, Klaus (ed.) - 2009 - 1. publ.

Persistent link: https://www.econbiz.de/10003804028

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results …

Persistent link: https://www.econbiz.de/10009578026

Finanzmarktstatistik : mit 35 Tabellen

Schmid, Friedrich; Trede, Mark - 2005

Persistent link: https://www.econbiz.de/10003028166

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