Estimation of continuous time processes with application to finance
Year of publication: |
2003
|
---|---|
Authors: | Egorov, Alexej V. |
Subject: | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Wahrscheinlichkeitsrechnung | Probability theory | Zinsstruktur | Yield curve |
-
Diagnostic tests based on quantile residuals for nonlinear time series models
Kalliovirta, Leena, (2009)
-
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo, (2016)
-
A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia, (2020)
- More ...
-
Maximum likelihood estimation of time-inhomogeneous diffusions
Egorov, Alexej V., (2003)
-
A tale of two yield curves : modeling the joint term structure of dollar and euro interest rates
Egorov, Alexej V., (2011)
-
Egorov, Alexej V., (2006)
- More ...