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Search: subject_exact:"Martingal"
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Theory
Martingal
46
Martingale
46
Theorie
19
Estimation theory
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16
Volatility
16
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16
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Phillips, Peter C. B.
5
Cheng, Xu
2
Xu, Ke-Li
2
Boswijk, Herman Peter
1
Chan, Ngai Hang
1
Cheung, Simon K. C.
1
Comte, Fabienne
1
Deo, Rohit S.
1
Gallant, A. Ronald
1
Hounyo, Ulrich
1
Jacod, Jean
1
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1
Klüppelberg, Claudia
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Koul, Hira L.
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Li, Jia
1
Li, Liyao
1
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1
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1
Lu, Xiaohui
1
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1
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Cowles Foundation discussion paper
Journal of econometrics
Finance and stochastics
59
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
International journal of theoretical and applied finance
17
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
14
Research paper series / Swiss Finance Institute
13
Swiss Finance Institute Research Paper
13
Annals of finance
11
CREATES research paper
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Mathematical methods of operations research
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Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Economic theory : official journal of the Society for the Advancement of Economic Theory
8
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7
Applied mathematical finance
6
European journal of operational research : EJOR
6
Insurance / Mathematics & economics
6
Journal of economic dynamics & control
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Econometric reviews
5
Journal of mathematical finance
5
Mathematics of operations research
5
Optimality and risk - modern trends in mathematical finance : the Kabanov Festschrift
5
Studi e quaderni
5
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
5
Asia-Pacific financial markets
4
Contemporary quantitative finance : essays in honour of Eckhard Platen
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
Discussion paper / B
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Economics letters
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Quantitative economics : QE ; journal of the Econometric Society
4
The review of financial studies
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Cowles Foundation Discussion Paper
3
Discussion paper / Center for Economic Research, Tilburg University
3
Discussion papers of interdisciplinary research project 373
3
International review of financial analysis
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Journal of banking & finance
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ECONIS (ZBW)
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1
Spatial dynamic panel data models with correlated random effects
Li, Liyao
;
Yang, Zhenlin
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 424-454
Persistent link: https://www.econbiz.de/10012619244
Saved in:
2
Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
Saved in:
3
A goodness-of-fit test for copulas based on martingale transformation
Lu, Xiaohui
;
Zheng, Xu
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 84-117
Persistent link: https://www.econbiz.de/10012439384
Saved in:
4
Inference for the degree distributions of preferential attachment networks with zero-degree nodes
Chan, Ngai Hang
;
Cheung, Simon K. C.
;
Wong, Samuel P. S.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10012439688
Saved in:
5
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
6
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:
7
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
8
Testing for self-excitation in jumps
Boswijk, Herman Peter
;
Laeven, Roger J. A.
;
Yang, Xiye
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
Saved in:
9
Testing the martingale hypothesis
Phillips, Peter C. B.
;
Jin, Sainan
-
2013
Persistent link: https://www.econbiz.de/10010190227
Saved in:
10
Testing for non-correlation between price and volatility jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Saved in:
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