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Stochastic process
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Phillips, Peter C. B.
74
Koopman, Siem Jan
55
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42
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40
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39
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28
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23
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European journal of operational research : EJOR
464
Journal of econometrics
168
Insurance / Mathematics & economics
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Computers & operations research : and their applications to problems of world concern ; an international journal
147
Finance and stochastics
135
International journal of production research
132
Operations research
125
International journal of theoretical and applied finance
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Operations research letters
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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International journal of production economics
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Econometric reviews
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Journal of economic dynamics & control
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Risks : open access journal
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INFORMS journal on computing : JOC
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Economics letters
65
Quantitative finance
63
Econometric theory
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
55
Journal of economic theory
55
Computational Management Science : CMS
54
Economic modelling
54
Discussion papers of interdisciplinary research project 373
53
Transportation research / E : an international journal
52
Computational economics
51
Mathematical methods of operations research
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Transportation science : a journal of the Institute for Operations Research and the Management Sciences
49
CREATES research paper
47
SFB 649 discussion paper
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Management science : journal of the Institute for Operations Research and the Management Sciences
45
Omega : the international journal of management science
41
Cowles Foundation discussion paper
39
NBER Working Paper
39
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38
Annals of finance
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Scandinavian actuarial journal
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ECONIS (ZBW)
10,200
RePEc
1
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1
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10,201
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1
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
2
High dimensional stochastic
regression
with latent factors, endogeneity and nonlinearity
Chang, Jinyuan
;
Guo, Bin
;
Yao, Qiwei
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
Saved in:
3
Data-driven jump detection thresholds for application in jump regressions
Davies, Robert
;
Tauchen, George Eugene
-
2015
evaluate the performance of our method in a jump
regression
context. Finally, we apply our method in two empirical studies. In …
Persistent link: https://www.econbiz.de/10011524214
Saved in:
4
Data-driven jump detection thresholds for application in jump regressions
Davies, Robert
;
Tauchen, George Eugene
- In:
Econometrics : open access journal
6
(
2018
)
2
,
pp. 1-25
evaluate the performance of our method in a jump
regression
context. Finally, we apply our method in two empirical studies. In …
Persistent link: https://www.econbiz.de/10011823308
Saved in:
5
On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
Saved in:
6
Smooth design-adapted wavelets for nonparametric stochastic
regression
Delouille, V.
;
Simoens, J.
;
Sachs, R. von
- In:
Journal of the American Statistical Association : JASA
99
(
2004
)
467
,
pp. 643-658
Persistent link: https://www.econbiz.de/10002241660
Saved in:
7
(Non)-Parametric Regressions : Applications to Local Stochastic Volatility Models
Henry-Labordere, Pierre
-
2019
In this short paper, we review various (non)-parametric
regression
methods, mainly k-nearest neighbors, Nadaraya …
Persistent link: https://www.econbiz.de/10012872040
Saved in:
8
A review of tree-based approaches to solving forward-backward stochastic differential equations
Teng, Long
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 125-159
Persistent link: https://www.econbiz.de/10012873086
Saved in:
9
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
10
Essays in statistical estimation and a stochastic application to financial markets
Huang, Jing
-
2018
Persistent link: https://www.econbiz.de/10012183865
Saved in:
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