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~person:"Caporale, Guglielmo Maria"
~person:"Forbes, Catherine Scipione"
~subject:"Markov-Kette"
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Search: subject_exact:"Monte Carlo simulation"
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Markov-Kette
Monte Carlo simulation
29
Monte-Carlo-Simulation
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Bayes-Statistik
13
Bayesian inference
13
Theorie
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11
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Dynamic price and volatility jumps
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Estimation theory
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Nonlinear state space model
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Caporale, Guglielmo Maria
Forbes, Catherine Scipione
Dijk, Herman K. van
20
Tsionas, Efthymios G.
19
Frühwirth-Schnatter, Sylvia
17
Chib, Siddhartha
14
Koopman, Siem Jan
13
Zhang, Xibin
13
Martin, Gael M.
12
Omori, Yasuhiro
12
Kohn, Robert
11
Koop, Gary
11
Gerlach, Richard
10
Leon-Gonzalez, Roberto
10
Li, Yong
10
Peters, Gareth
10
Yu, Jun
10
Boivin, Jean
9
Chen, Cathy W. S.
9
Hoogerheide, Lennart
9
Robert, Christian P.
9
Strachan, Rodney W.
9
Weber, Andrea
9
Winter-Ebmer, Rudolf
9
Bos, Charles S.
8
Pamminger, Christoph
8
Shevchenko, Pavel V.
8
Bauwens, Luc
7
Kaufmann, Sylvia
7
King, Maxwell L.
7
Kneib, Thomas
7
Korobilis, Dimitris
7
Lesage, James P.
7
McAleer, Michael
7
Nakajima, Jouchi
7
Canova, Fabio
6
Ciccarelli, Matteo
6
Dimitrakopoulos, Stefanos
6
Dufays, Arnaud
6
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6
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Working paper / Department of Econometrics and Business Statistics, Monash University
8
Journal of applied econometrics
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
2
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
3
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
4
Data-driven particle filters for Particle Markov Chain Monte Carlo
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2016
Persistent link: https://www.econbiz.de/10011781784
Saved in:
5
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
6
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
7
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
8
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris
;
Martin, Gael M.
;
Forbes, Catherine …
-
2006
Persistent link: https://www.econbiz.de/10003433826
Saved in:
9
Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.
;
Forbes, Catherine Scipione
; …
-
2003
Persistent link: https://www.econbiz.de/10001854434
Saved in:
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