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Markov chain
Bayesian inference
38
Bayes-Statistik
37
Theorie
37
Theory
37
Time series analysis
29
Zeitreihenanalyse
29
Forecasting model
28
Prognoseverfahren
28
Volatility
26
Volatilität
26
Estimation theory
20
Schätztheorie
20
State space model
18
Stochastic process
18
Stochastischer Prozess
18
Zustandsraummodell
18
Monte Carlo simulation
16
Monte-Carlo-Simulation
16
Option pricing theory
16
Optionspreistheorie
16
Markov-Kette
13
Estimation
12
Schätzung
12
Börsenkurs
10
Share price
10
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Bayesian Markov chain Monte Carlo
8
Hawkes process
7
Nonlinear state space model
7
ARFIMA
6
Bootstrap approach
6
Bootstrap-Verfahren
6
Stochastic volatility
6
Australia
5
Australien
5
Bias
5
CAPM
5
Dynamic price and volatility jumps
5
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English
12
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Martin, Gael M.
12
Forbes, Catherine Scipione
9
Maneesoonthorn, Worapree
6
Frazier, David T.
1
Leung, Patrick
1
McCabe, Brendan Peter Martin
1
Robert, Christian P.
1
Sanford, Andrew D.
1
Strickland, Chris
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Strickland, Chris M.
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Working paper / Department of Econometrics and Business Statistics, Monash University
10
Econometric reviews
1
Journal of applied econometrics
1
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ECONIS (ZBW)
12
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1
Bayesian analysis of a fractional cointegration model
Martin, Gael M.
- In:
Econometric reviews
20
(
2001
)
2
,
pp. 217-234
Persistent link: https://www.econbiz.de/10001596591
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2
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris
;
Martin, Gael M.
;
Forbes, Catherine …
-
2006
Persistent link: https://www.econbiz.de/10003433826
Saved in:
3
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
4
Bayesian analysis of continuous time models of the Australian short rate
Sanford, Andrew D.
;
Martin, Gael M.
-
2004
Persistent link: https://www.econbiz.de/10002121846
Saved in:
5
Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.
;
Forbes, Catherine Scipione
; …
-
2003
Persistent link: https://www.econbiz.de/10001854434
Saved in:
6
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
7
Computing Bayes : Bayesian computation from 1763 to the 21st century
Martin, Gael M.
;
Frazier, David T.
;
Robert, Christian P.
-
2020
Persistent link: https://www.econbiz.de/10012607643
Saved in:
8
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
9
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
10
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
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