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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Computational economics"
~isPartOf:"Finance and stochastics"
~subject:"Black-Scholes-Modell"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Black-Scholes-Modell
Estimation theory
125
Schätztheorie
125
Time series analysis
34
Zeitreihenanalyse
34
Monte Carlo simulation
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Monte-Carlo-Simulation
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Estimation
21
Regression analysis
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Boubaker, Heni
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Akira Toda, Alexis
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1
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Härdle, Wolfgang
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1
Lee, Roger
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1
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Computational economics
Finance and stochastics
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
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Economic modelling
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CREATES research paper
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Econometric theory
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Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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International journal of forecasting
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Finance research letters
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Quantitative finance
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SFB 649 discussion paper
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International journal of theoretical and applied finance
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Journal of banking & finance
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Journal of risk and financial management : JRFM
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
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Journal of forecasting
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The econometrics journal
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Cowles Foundation discussion paper
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Econometrics : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
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Discussion papers of interdisciplinary research project 373
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Mathematics of operations research
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Journal of mathematical finance
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Operations research
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Insurance / Mathematics & economics
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NBER Working Paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
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The convergence analysis of the numerical calculation to price the time-fractional black-scholes model
Mesgarani, H.
;
Bakhshandeh, M.
;
Aghdam, Y. Esmaeelzade
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1845-1856
Persistent link: https://www.econbiz.de/10014437608
Saved in:
2
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
3
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
4
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
5
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
6
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
7
Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert
;
Ren, Peng
;
Timofeyev, Ilya
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
Saved in:
8
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
Saved in:
9
Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500 volatility dynamics
Zhu, Shunwei
;
Wang, Bo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
Saved in:
10
Adaptive quadrature for maximum likelihood estimation of a class of dynamic latent variable models
Cagnone, Silvia
;
Bartolucci, Francesco
- In:
Computational economics
49
(
2017
)
4
,
pp. 599-622
Persistent link: https://www.econbiz.de/10011762141
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