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subject:"Großbritannien"
accessRights:"restricted"
~subject:"Stochastic process"
~subject:"Statistical inference"
~isPartOf:"Quantitative finance"
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Großbritannien
Stochastic process
Statistical inference
Estimation theory
30
Schätztheorie
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11
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11
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10
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Cang, Yuquan
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Capriotti, Luca
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Chronopoulou, Alexandra
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Han, Yongli
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Mathew, Thomas
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Quantitative finance
Journal of econometrics
94
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Econometric reviews
19
Econometric theory
18
Economics letters
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
2
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
3
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
4
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
5
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
Saved in:
6
Shrinkage estimation of Kelly portfolios
Han, Yongli
;
Yu, Philip L. H.
;
Mathew, Thomas
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 277-287
Persistent link: https://www.econbiz.de/10012194653
Saved in:
7
Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra
;
Spiliopoulos, Konstantinos
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
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