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subject:"Markov chain"
~person:"Forbes, Catherine Scipione"
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Markov chain
Stochastic process
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Stochastischer Prozess
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Volatilität
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Bayes-Statistik
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Bayesian inference
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Börsenkurs
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Price jump tests
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Estimation
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Forbes, Catherine Scipione
Elliott, Robert J.
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Siu, Tak Kuen
13
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Rady, Sven
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Keller, Godfrey
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Sethi, Suresh
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Hainaut, Donatien
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Maneesoonthorn, Worapree
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Rodriguez, Gabriel
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Shephard, Neil G.
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Balbus, Lukasz
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Chiarella, Carl
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Ferrari, Giorgio
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Kolkiewicz, Adam W.
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León-González, Roberto
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Mamon, Rogemar S.
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Men, Zhongxian
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Omori, Yasuhiro
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Rodrigues, Paulo Jorge Maurício
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Seeger, Norman
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Wirjanto, Tony S.
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Yu, Jun
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Zhang, Hanqin
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Zhang, Qing
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Ching, Wai Ki
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Dimitrakopoulos, Stefanos
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Gapeev, Pavel V.
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Working paper / Department of Econometrics and Business Statistics, Monash University
6
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
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:
5
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:
6
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:
7
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:
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