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The risk and return of venture capital
Cochrane, John H. - In: Journal of financial economics 75 (2005) 1, pp. 3-52
Persistent link: https://www.econbiz.de/10002515937
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The risk and return of venture capital
Cochrane, John H. - 2001
Persistent link: https://www.econbiz.de/10001542489
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Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-305
Persistent link: https://www.econbiz.de/10003354577
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Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods
Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 227-232). 2007
Persistent link: https://www.econbiz.de/10003470697
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Prediction of stock price movement using continuous time models
Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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Better risk and performance estimates with factor-model Monte Carlo
Jiang, Yindeng; Martin, Doug - In: Journal of risk 17 (2014/2015) 5, pp. 29-67
Persistent link: https://www.econbiz.de/10011438893
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Lillestøl, Jostein - 2000
Persistent link: https://www.econbiz.de/10001582162