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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Francq, Christian"
~person:"Kumar, Dilip"
~person:"Todorov, Viktor"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Statistische Verteilung
Estimation theory
81
Schätztheorie
81
Volatilität
42
ARCH model
40
ARCH-Modell
40
Estimation
31
Schätzung
31
Time series analysis
27
Zeitreihenanalyse
27
Börsenkurs
18
Share price
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Capital income
17
Kapitaleinkommen
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15
Theorie
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Theory
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14
Prognoseverfahren
14
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
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7
Nonparametric statistics
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Statistical distribution
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Option pricing theory
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Optionspreistheorie
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High-frequency data
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Stochastic volatility
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Systematischer Fehler
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Volatility modeling
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Francq, Christian
Kumar, Dilip
Todorov, Viktor
Phillips, Peter C. B.
39
Koopman, Siem Jan
26
McAleer, Michael
19
Li, Jia
18
Einmahl, John H. J.
17
Härdle, Wolfgang
17
Linton, Oliver
17
Sentana, Enrique
16
Li, Yingying
15
Lucas, André
15
Tauchen, George Eugene
15
Teräsvirta, Timo
15
Maheswaran, S.
14
Brandt, Michael W.
13
Diebold, Francis X.
12
Hafner, Christian M.
12
Kim, Donggyu
12
Linton, Oliver B.
12
Swanson, Norman R.
12
Fan, Jianqing
11
Ghysels, Eric
11
Mancino, Maria Elvira
11
Reiß, Markus
11
Spokojnyj, Vladimir G.
11
Wu, Ximing
11
Zakoïan, Jean-Michel
11
Andersen, Torben
10
Bandi, Federico M.
10
Cui, Zhenyu
10
Iacus, Stefano Maria
10
Liu, Zhi
10
Silvennoinen, Annastiina
10
Carnero, M. Angeles
9
Christopeit, Norbert
9
Harvey, Andrew C.
9
Mykland, Per A.
9
Park, Joon Y.
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Journal of econometrics
15
Economic modelling
4
ERID working paper
3
Econometric theory
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
IIMB management review
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International review of economics & finance : IREF
2
The journal of prediction markets
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Theoretical economics letters
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
45
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
5
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
6
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
7
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
8
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
9
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
10
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
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