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Stochastic process
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McAleer, Michael
71
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Platen, Eckhard
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42
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Andersen, Torben
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Australian National University / Research School of Pacific and Asian Studies / Economics Division
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Bachelier Finance Society
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1
Center for Economic Research <Tilburg>
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European journal of operational research : EJOR
494
International journal of theoretical and applied finance
223
Insurance / Mathematics & economics
185
Journal of econometrics
178
Finance and stochastics
152
Computers & operations research : and their applications to problems of world concern ; an international journal
146
International journal of production research
129
Quantitative finance
129
Operations research
121
Operations research letters
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Discussion paper / Tinbergen Institute
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Mathematics of operations research
87
Risks : open access journal
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Applied mathematical finance
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Computational economics
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International journal of production economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Econometric reviews
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Economics letters
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The journal of computational finance
67
INFORMS journal on computing : JOC
64
Finance research letters
61
Journal of mathematical finance
60
Computational Management Science : CMS
59
Journal of economic theory
56
Energy economics
55
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
54
Economic modelling
54
Annals of finance
53
Mathematical methods of operations research
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International journal of financial engineering
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Transportation research / E : an international journal
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Working paper
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Discussion papers of interdisciplinary research project 373
50
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
11,840
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1
Microfoundations for diffusion price processes
Pakkanen, Mikko S.
- In:
Mathematics and financial economics
3
(
2010
)
2
,
pp. 89-114
Persistent link: https://www.econbiz.de/10003983168
Saved in:
2
Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market
Mwaniki, Ivivi Joseph
- In:
Journal of mathematical finance
5
(
2015
)
1
,
pp. 15-25
Persistent link: https://www.econbiz.de/10011398581
Saved in:
3
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
4
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
-
2002
can generate a plausible disaggregation of the conditional variance process, in which the components'
volatility
dynamics …
Persistent link: https://www.econbiz.de/10009767120
Saved in:
5
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
6
Stochastic
volatility
model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
5
,
pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
Saved in:
7
Regime switching stochastic
volatility
with skew, fat tails and leverage using returns and realized
volatility
contemporaneously
Trojan, Sebastian
-
2013
Persistent link: https://www.econbiz.de/10010243571
Saved in:
8
Bayesian Nonparametric Modelling of the Return Distribution with Stochastic
Volatility
Delatola, Eleni-Ioanna
-
2011
This paper presents a method for Bayesian nonparametric analysis of the return distribution in a stochastic
volatility
… series and two stock index return series. We find that estimates of
volatility
using the model can differ dramatically from …
Persistent link: https://www.econbiz.de/10013133054
Saved in:
9
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman
;
Taṣpınar, Süleyman
;
Bera, Anil K.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
5
,
pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
Saved in:
10
Disentangling Continuous
Volatility
From Jumps in Long-Run Risk-Return Relationships
Jacquier, Eric
-
2013
Realized variance can be broken down into continuous
volatility
and jumps. We show that these two components have very … different predictive powers on future long-term excess stock market returns. While continuous
volatility
is a key driver of …
volatility
and future returns. Two by-products of our analysis are that imposing model-based constraints on long term regressions …
Persistent link: https://www.econbiz.de/10013080671
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