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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of banking & finance"
~person:"Jondeau, Eric"
~person:"Kanniainen, Juho"
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Stochastischer Prozess
Volatility
Estimation
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Estimation theory
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ARCH model
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ARCH-Modell
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Börsenkurs
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GARCH
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Jumps
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Kalman filter
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Market microstructure
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Jondeau, Eric
Kanniainen, Juho
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Preve, Daniel P. A.
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Ren, Peng
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Finance and stochastics
Journal of banking & finance
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ECONIS (ZBW)
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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
Saved in:
2
Estimating and using GARCH models with VIX data for option valuation
Kanniainen, Juho
;
Lin, Binghuan
;
Yang, Hanxue
- In:
Journal of banking & finance
43
(
2014
),
pp. 200-211
Persistent link: https://www.econbiz.de/10010410004
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