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subject:"Monte Carlo simulation"
~person:"Maneesoonthorn, Worapree"
~subject:"Volatility"
~type:"book"
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Monte Carlo simulation
Volatility
Bayes-Statistik
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Bayesian inference
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Volatilität
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Monte-Carlo-Simulation
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Stochastic process
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Kapitaleinkommen
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Maneesoonthorn, Worapree
Dijk, Herman K. van
28
Carriero, Andrea
18
Martin, Gael M.
17
Casarin, Roberto
15
Clark, Todd E.
15
Ravazzolo, Francesco
15
Marcellino, Massimiliano
14
Strachan, Rodney W.
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Forbes, Catherine Scipione
13
Mertens, Elmar
13
Grassi, Stefano
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Koop, Gary
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Hoogerheide, Lennart
11
Chan, Joshua
10
Lang, Stefan
10
Peters, Gareth
10
Del Negro, Marco
9
Hoogerheide, Lennart F.
9
Kneib, Thomas
9
Leon-Gonzalez, Roberto
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Nason, James Michael
9
Eisenstat, Eric
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Rodriguez, Gabriel
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Ardia, David
7
Kano, Takashi
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Kohn, Robert
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Korobilis, Dimitris
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Nason, James M.
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van Dijk, H. K.
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Bos, Charles S.
6
Chib, Siddhartha
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Koopman, Siem Jan
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Quiroz, Matias
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Villani, Mattias
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Ahelegbey, Daniel Felix
5
Basturk, Nalan
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Bauwens, Luc
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Billio, Monica
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Chan, Joshua C. C.
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Working paper / Department of Econometrics and Business Statistics, Monash University
7
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ECONIS (ZBW)
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1
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
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:
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
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
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