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subject:"Volatilität"
type_genre:"Working Paper"
~person:"Shephard, Neil G."
~subject:"Monte-Carlo-Simulation"
~subject:"Risk management"
~subject:"United States"
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Search: subject_exact:"Estimation theory"
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Volatilität
Monte-Carlo-Simulation
Risk management
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Estimation theory
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22
Multivariate Analyse
7
Multivariate analysis
7
ARCH model
5
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Time series analysis
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Shephard, Neil G.
Koopman, Siem Jan
13
Schorfheide, Frank
12
Diebold, Francis X.
9
Gouriéroux, Christian
9
Herbst, Edward P.
9
Sibbertsen, Philipp
8
Swanson, Norman R.
8
Audrino, Francesco
7
Croux, Christophe
7
Dufour, Jean-Marie
7
Härdle, Wolfgang
7
Kapetanios, George
7
Kitagawa, Toru
7
Leon-Gonzalez, Roberto
7
Lucas, André
7
Marcellino, Massimiliano
7
Pesaran, M. Hashem
7
Sentana, Enrique
7
Advani, Arun
6
Brandt, Michael W.
6
Corsi, Fulvio
6
Del Negro, Marco
6
Dijk, Dick van
6
Dijk, Herman K. van
6
Fernández-Villaverde, Jesús
6
Hautsch, Nikolaus
6
Huber, Martin
6
Lechner, Michael
6
Matlin, Ethan
6
Sarfati, Reca
6
Słoczyński, Tymon
6
Teräsvirta, Timo
6
Angrist, Joshua D.
5
Arcidiacono, Peter
5
Bayer, Patrick J.
5
Bibinger, Markus
5
Caporale, Guglielmo Maria
5
Daníelsson, Jón
5
Engle, Robert F.
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Department of Economics discussion paper series / University of Oxford
3
Economics discussion papers
3
Global COE Hi-Stat discussion paper series
1
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1
Oxford Financial Research Centre economics series
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ECONIS (ZBW)
9
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1
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009531407
Saved in:
2
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009532682
Saved in:
3
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2009
Persistent link: https://www.econbiz.de/10003854421
Saved in:
4
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2008
Persistent link: https://www.econbiz.de/10003807445
Saved in:
5
Fitting vast dimensional time-varying covariance models
Engle, Robert F.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2008
Persistent link: https://www.econbiz.de/10003807446
Saved in:
6
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2008
Persistent link: https://www.econbiz.de/10003818473
Saved in:
7
Fitting vast dimensional time-varying covariance models
Engle, Robert F.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2008
Persistent link: https://www.econbiz.de/10003818564
Saved in:
8
Likelihood inference for discretely observed non-linear diffusions
Elerian, Ola
;
Chib, Siddhartha
;
Shephard, Neil G.
-
2000
Persistent link: https://www.econbiz.de/10009581671
Saved in:
9
Likelihood-based estimation of latent general ARCH structures
Fiorentini, Gabriele
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10003179153
Saved in:
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