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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Kristensen, Dennis"
~subject:"Cointegration"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
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Estimation theory
20
Schätztheorie
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Nichtparametrisches Verfahren
8
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8
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5
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Kristensen, Dennis
Phillips, Peter C. B.
19
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
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9
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Boswijk, Herman Peter
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Kim, Donggyu
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Liu, Zhi
7
Mykland, Per A.
7
Taylor, Robert
7
Zakoïan, Jean-Michel
7
Bohn Nielsen, Heino
6
Chambers, Marcus J.
6
Gao, Jiti
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Ghysels, Eric
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Kurita, Takamitsu
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Park, Joon Y.
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Rahbek, Anders
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Tsionas, Efthymios G.
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5
Fan, Jianqing
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Econometric theory
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1
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin
;
Kristensen, Dennis
- In:
Econometric theory
32
(
2016
)
4
,
pp. 861-916
Persistent link: https://www.econbiz.de/10011644214
Saved in:
2
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
Saved in:
3
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
4
Testing and inference in nonlinear cointegrating vector erro correction models
Kristensen, Dennis
;
Rahbek, Anders
- In:
Econometric theory
29
(
2013
)
6
,
pp. 1238-1288
Persistent link: https://www.econbiz.de/10010343726
Saved in:
5
Likelihood-based inference for cointegration with nonlinear error-correction
Kristensen, Dennis
;
Rahbek, Anders
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 78-94
Persistent link: https://www.econbiz.de/10008826874
Saved in:
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