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Search: subject_exact:"Martingal"
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Martingal
44
Martingale
44
Theorie
18
Theory
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Volatility
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Volatilität
16
Estimation theory
14
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14
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Li, Jia
3
Tauchen, George Eugene
3
Todorov, Viktor
3
Yang, Zhenlin
3
Hounyo, Ulrich
2
Jing, Bingyi
2
Liu, Zhi
2
Mykland, Per A.
2
Phillips, Peter C. B.
2
Varneskov, Rasmus Tangsgaard
2
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2
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1
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1
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1
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1
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Chan, Ngai Hang
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Clark, Todd E.
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Delgado, Miguel A.
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Jasiak, Joann
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Kalnina, Ilze
1
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Journal of econometrics
Journal of mathematical economics
Finance and stochastics
92
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
International journal of theoretical and applied finance
41
Research paper series / Swiss Finance Institute
24
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
19
Swiss Finance Institute Research Paper
19
Annals of finance
16
Applied mathematical finance
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CREATES research paper
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Mathematics and financial economics
15
Journal of mathematical finance
13
Mathematical methods of operations research
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Asia-Pacific financial markets
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
European journal of operational research : EJOR
9
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Cowles Foundation discussion paper
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Economic theory : official journal of the Society for the Advancement of Economic Theory
8
Insurance / Mathematics & economics
8
Journal of economic dynamics & control
8
Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Econometric theory
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
7
Economics letters
7
International review of financial analysis
7
Mathematical finance : an international journal of mathematics, statistics and financial economics
7
Quantitative finance
7
Risks : open access journal
7
The journal of futures markets
7
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Discussion paper / B
6
Discussion papers of interdisciplinary research project 373
6
Econometric reviews
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Finance research letters
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International journal of financial engineering
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NBER Working Paper
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Studi e quaderni
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ECONIS (ZBW)
44
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1
No free lunch for markets with multiple numéraires
Carassus, Laurence
- In:
Journal of mathematical economics
104
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014231303
Saved in:
2
Testing the eigenvalue structure of spot and integrated covariance
Dovonon, Prosper
;
Taamouti, Abderrahim
;
Williams, Julian
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 363-395
Persistent link: https://www.econbiz.de/10013441888
Saved in:
3
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
4
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:
5
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.
;
Pirotte, Alain
;
Yang, Zhenlin
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 245-270
Persistent link: https://www.econbiz.de/10013275390
Saved in:
6
Stationary bubble equilibria in rational expectation models
Gouriéroux, Christian
;
Jasiak, Joann
;
Monfort, Alain
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 714-735
Persistent link: https://www.econbiz.de/10012483178
Saved in:
7
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:
8
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:
9
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:
10
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
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