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subject:"local homogeneity"
~person:"Baum, Christopher F."
~person:"Funahashi, Hideharu"
~subject:"Volatilität"
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local homogeneity
Volatilität
Stochastic process
4
Stochastischer Prozess
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Volatility
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Asymmetric Laplace distribution
2
Bayes-Statistik
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stochastic volatility model
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Baum, Christopher F.
Funahashi, Hideharu
McAleer, Michael
8
Asai, Manabu
6
Chang, Chia-Lin
4
Spokoiny, Vladimir G.
4
Takahashi, Akihiko
4
Chiarella, Carl
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Kobayashi, Masahito
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Koopman, Siem Jan
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Chen, Jinghui
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Chen, Liyuan
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Diebold, Francis X.
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Frazier, David T.
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Herwartz, Helmut
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Huber, Florian
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Härdle, Wolfgang
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Jungbacker, Borus
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Lee, Eunhee
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Loiza-Maya, Ruben
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Martin, Gael M.
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Neto, David
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Peiris, Shelton
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Shin, Minchul
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Yamada, Toshihiro
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Amir Ahmadi, Pooyan
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ECONIS (ZBW)
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
-
2018
Persistent link: https://www.econbiz.de/10011891048
Saved in:
2
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
3
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
4
Pricing derivatives with fractional volatility
Funahashi, Hideharu
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
Saved in:
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