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subject:"Volatility"
subject:"Yield curve"
~isPartOf:"Journal of econometrics"
~person:"Asai, Manabu"
~person:"Buch, Claudia M."
~subject:"Schätzung"
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Volatility
Yield curve
Schätzung
Estimation
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Asai, Manabu
Buch, Claudia M.
Todorov, Viktor
14
Tauchen, George Eugene
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Bollerslev, Tim
8
Linton, Oliver
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Aït-Sahalia, Yacine
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Gao, Jiti
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Lu, Xun
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Francq, Christian
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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2
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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