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subject:"Volatility"
type_genre:"Article in journal"
~person:"Elliott, Robert J."
~type_genre:"Conference paper"
~type_genre:"Sammelwerk"
~type_genre:"Thesis"
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Volatility
Estimation theory
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Schätztheorie
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Markov chain
2
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Elliott, Robert J.
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
10
Li, Yingying
8
Liu, Zhi
8
Teräsvirta, Timo
8
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7
Francq, Christian
7
Kim, Donggyu
7
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7
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6
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6
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6
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5
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5
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5
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5
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5
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4
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4
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4
Hwang, Eunju
4
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4
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4
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Nolte, Ingmar
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4
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European journal of operational research : EJOR
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Oberwolfach
1
The European journal of finance
1
The econometrics journal
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Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
2
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
European journal of operational research : EJOR
247
(
2015
)
3
,
pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
Saved in:
3
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.
;
Krishnamurthy, Vikram
;
Sass, Jörn
- In:
The econometrics journal
11
(
2008
)
2
,
pp. 244-270
Persistent link: https://www.econbiz.de/10003750782
Saved in:
4
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc
;
Elliott, Robert J.
;
Madan, Dilip B.
; …
- In:
Mathematical finance : an international journal of …
3
(
1993
)
2
,
pp. 85-99
Persistent link: https://www.econbiz.de/10001333352
Saved in:
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