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~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Theorie
232
Theory
228
Volatility
115
Volatilität
113
Schätzung
109
Estimation
108
Time series analysis
98
Zeitreihenanalyse
98
Estimation theory
95
Schätztheorie
95
USA
86
Capital income
84
Kapitaleinkommen
84
United States
84
Prognoseverfahren
83
Forecasting model
82
Risikoprämie
75
Risk premium
75
Börsenkurs
70
Share price
69
Zinsstruktur
54
CAPM
53
Yield curve
53
Stochastic process
40
Financial market
39
Finanzmarkt
39
Monetary policy
35
Geldpolitik
32
Ökonometrie
29
Econometrics
28
Exchange rate
28
Wechselkurs
28
Bayes-Statistik
27
Bayesian inference
27
Risiko
26
Risk
26
Rentenmarkt
24
Saisonale Schwankungen
24
Seasonal variations
24
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Free
11
Undetermined
9
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Article
26
Book / Working Paper
14
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Article in journal
25
Aufsatz in Zeitschrift
25
Arbeitspapier
8
Working Paper
8
Graue Literatur
7
Non-commercial literature
7
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1
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1
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Language
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English
40
Author
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Tauchen, George Eugene
24
Todorov, Viktor
20
Ghysels, Eric
12
Li, Jia
6
Gallant, A. Ronald
4
Grynkiv, Iaryna
4
Tauchen, George
3
Bollerslev, Tim
2
Davies, Robert
2
Gagliardini, Patrick
2
Jasiak, Joann
2
Khalaf, Lynda
2
Renault, Eric
2
Vodounou, Cosmé
2
Andersen, Torben
1
Andreou, Elena
1
Bondarenko, Oleg
1
Chen, Rui
1
Cheng, Ai-ru Meg
1
Chernov, Mikhail
1
Garcia, René
1
Gouriéroux, Christian
1
Harvey, Andrew C.
1
Hsu, Chiente
1
Ji, Chuanshu
1
Law, Tzuo Hann
1
Lee, Beom S.
1
Lin, Huidi
1
Litvinova, Julia
1
Reiß, Markus
1
Rubin, M.
1
Rubin, Mirco
1
Wang, Fangfang
1
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Journal of econometrics
11
ERID working paper
5
Economic Research Initiatives at Duke (ERID) Working Paper
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Cahier / Département de Sciences Économiques, Université de Montréal
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annales d'économie et de statistique
1
CORE discussion paper : DP
1
Computation and estimation in finance and economics
1
Discussion paper / Institute for Empirical Macroeconomics
1
Econometrics : open access journal
1
Journal of financial economics
1
Macroeconomic dynamics
1
Quantitative economics : QE ; journal of the Econometric Society
1
Research paper series / Swiss Finance Institute
1
SFB 649 discussion paper
1
The review of economics and statistics
1
Tools and techniques
1
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ECONIS (ZBW)
40
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1
Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
Gallant, A. Ronald
;
Hsu, Chiente
;
Tauchen, George Eugene
- In:
The review of economics and statistics
81
(
1999
)
4
,
pp. 617-631
Persistent link: https://www.econbiz.de/10001437376
Saved in:
2
Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald
- In:
Macroeconomic dynamics
1
(
1997
)
1
,
pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
Saved in:
3
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
4
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
Chernov, Mikhail
;
Ghysels, Eric
- In:
Journal of financial economics
56
(
2000
)
3
,
pp. 407-458
Persistent link: https://www.econbiz.de/10001483311
Saved in:
5
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
6
A time series model with periodic stochastic regime switching
Ghysels, Eric
-
1993
Persistent link: https://www.econbiz.de/10000865918
Saved in:
7
Leverage and volatility feedback effects in high-frequency data
Bollerslev, Tim
;
Litvinova, Julia
;
Tauchen, George Eugene
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 353-384
Persistent link: https://www.econbiz.de/10003354051
Saved in:
8
Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
4
,
pp. 455-469
Persistent link: https://www.econbiz.de/10003385169
Saved in:
9
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
10
The realized Laplace transform of volatility
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
3
,
pp. 1105-1127
Persistent link: https://www.econbiz.de/10009629019
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