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subject:"Zeitreihenanalyse"
type_genre:"Aufsatz im Buch"
~person:"Andersson, Michael K."
~person:"Andrikopoulos, Alexandru"
~person:"Ara, Ismat"
~subject:"Realized variance"
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Zeitreihenanalyse
Realized variance
Estimation theory
6
Schätztheorie
6
Theorie
5
Theory
5
Time series analysis
5
ARCH model
1
ARCH-Modell
1
Affine GARCH models
1
Analysis of variance
1
Diffusion limits
1
Lag model
1
Lag-Modell
1
Option pricing theory
1
Optionspreistheorie
1
Sampling
1
Stichprobenerhebung
1
Swap
1
Variance dependent pricing kernels
1
Variance swaps
1
Varianzanalyse
1
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Andersson, Michael K.
Andrikopoulos, Alexandru
Ara, Ismat
Gredenhoff, Mikael P.
5
Gao, Jiti
3
Hellström, Jörgen
3
Brännäs, Kurt
2
Chan, Ngai Hang
2
Dufour, Jean-Marie
2
Engle, Robert F.
2
Feng, Yuanhua
2
Franke, Jürgen
2
Granger, C. W. J.
2
Harvey, Andrew C.
2
He, Changli
2
Heiler, Siegfried
2
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2
Kane-Janus, Couro
2
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Kock, Anders Bredahl
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Lee, Sangyeol
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2
Medeiros, Marcelo C.
2
Mills, Terence C.
2
Pathairat Pastpipatkul
2
Pauly, Ralf
2
Polasek, Wolfgang
2
Songsak Sriboonchitta
2
Steehouwer, Hens
2
Trovik, Tørres G.
2
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2
Woraphon Yamaka
2
Woutersen, Tiemen
2
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1
Abry, Patrice
1
Akkaya, Murat
1
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On testing and forecasting in fractionally integrated time series models
3
Application of operations research to financial markets
1
Proceedings of the 1995 Econometrics Conference at Monash : Melbourne, Victoria, 13 - 14 July 1995
1
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ECONIS (ZBW)
5
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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Application of operations research to financial markets
,
(pp. 27-57)
.
2019
Persistent link: https://www.econbiz.de/10012157341
Saved in:
2
Do long-memory models have long memory?
Andersson, Michael K.
- In:
On testing and forecasting in fractionally integrated …
,
(pp. 29-40)
.
1998
Persistent link: https://www.econbiz.de/10001440033
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3
Power and bias of likelihood based inference in the cointegration model under fractional cointegration
Andersson, Michael K.
- In:
On testing and forecasting in fractionally integrated …
,
(pp. 57-68)
.
1998
Persistent link: https://www.econbiz.de/10001440089
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4
Robust testing for fractional integration using the bootstrap
Andersson, Michael K.
- In:
On testing and forecasting in fractionally integrated …
,
(pp. 91-111)
.
1998
Persistent link: https://www.econbiz.de/10001440092
Saved in:
5
Marginal likelihood based tests of a subvector of the parameter vector of linear regression disturbances
Ara, Ismat
- In:
Proceedings of the 1995 Econometrics Conference at …
,
(pp. 69-106)
.
1995
Persistent link: https://www.econbiz.de/10001294225
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