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subject:"Volatilität"
type_genre:"Working Paper"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
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Volatilität
Estimation theory
162
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162
Time series analysis
62
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62
Nichtparametrisches Verfahren
41
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37
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Australia
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Maneesoonthorn, Worapree
2
Martin, Gael M.
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Forbes, Catherine Scipione
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Frazier, David T.
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Working paper / Department of Econometrics and Business Statistics, Monash University
Discussion paper / Tinbergen Institute
27
CREATES research paper
15
SFB 649 discussion paper
9
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7
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6
Working paper / National Bureau of Economic Research, Inc.
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
5
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IES working paper
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Working papers / Rutgers University, Department of Economics
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3
Cowles Foundation discussion paper
3
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3
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3
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
2
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
-
2020
Persistent link: https://www.econbiz.de/10012606901
Saved in:
3
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
4
Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
-
2013
Persistent link: https://www.econbiz.de/10010189526
Saved in:
5
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin
;
King, Maxwell L.
-
2004
Persistent link: https://www.econbiz.de/10002479501
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