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type_genre:"Working Paper"
~person:"Chan, Joshua"
~person:"Shephard, Neil G."
~subject:"Background driving L´evy process"
~subject:"Bayes-Statistik"
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Search: subject_exact:"Stochastic process"
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Background driving L´evy process
Bayes-Statistik
Stochastic process
34
Stochastischer Prozess
34
Volatility
22
Volatilität
22
Theorie
13
Theory
13
State space model
12
Zustandsraummodell
12
Time series analysis
11
Zeitreihenanalyse
11
Bayesian inference
10
Estimation
8
Schätzung
8
Markov chain
6
Markov-Kette
6
Estimation theory
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Schätztheorie
4
stochastic volatility
4
ARCH model
3
ARCH-Modell
3
Financial market
3
Finanzmarkt
3
Inflation expectations
3
Inflationserwartung
3
Martingal
3
Martingale
3
Option pricing theory
3
Optionspreistheorie
3
USA
3
United States
3
VAR model
3
VAR-Modell
3
Co-heteroscedasticity
2
Derivat
2
Derivative
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Free
9
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Book / Working Paper
11
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Working Paper
Graue Literatur
15
Non-commercial literature
15
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Aufsatz in Zeitschrift
14
Arbeitspapier
11
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English
11
Author
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Chan, Joshua
Shephard, Neil G.
Carriero, Andrea
11
Marcellino, Massimiliano
11
Clark, Todd E.
10
Martin, Gael M.
10
Mertens, Elmar
8
Chib, Siddhartha
7
Forbes, Catherine Scipione
7
Maneesoonthorn, Worapree
6
Rodriguez, Gabriel
6
Bos, Charles S.
5
Mumtaz, Haroon
5
Grassi, Stefano
4
Pettenuzzo, Davide
4
Proietti, Tommaso
4
Timmermann, Allan
4
Dijk, Herman K. van
3
Frazier, David T.
3
Hautsch, Nikolaus
3
Nason, James Michael
3
Ravazzolo, Francesco
3
Schorfheide, Frank
3
Yang, Fuyu
3
Yu, Jun
3
Österholm, Pär
3
Adam, Tomáš
2
Barra, Istvan
2
Bianchi, Daniele
2
Chiu, Ching Wai Jeremy
2
Cúrdia, Vasco
2
Daude, Christian
2
Del Negro, Marco
2
Eisenstat, Eric
2
Greenwald, Daniel L.
2
Guidolin, Massimo
2
Karlsson, Sune
2
Kiss, Tamás
2
Kocięcki, Andrzej
2
Koop, Gary
2
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Nuffield College
1
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CAMA working paper series
5
Economics discussion papers
2
Mathematical finance
2
Oxford Financial Research Centre economics series
2
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ECONIS (ZBW)
11
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1
Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua
-
2015
Persistent link: https://www.econbiz.de/10011758150
Saved in:
2
Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua
-
2015
Persistent link: https://www.econbiz.de/10011758202
Saved in:
3
Bayesian model comparison for time-varying parameter VARs with stochastic volatility
Chan, Joshua
;
Eisenstat, Eric
-
2015
Persistent link: https://www.econbiz.de/10011342381
Saved in:
4
Modeling energy price dynamics: GARCH versus stochastic volatility
Chan, Joshua
;
Grant, Angelia L.
-
2015
Persistent link: https://www.econbiz.de/10011342409
Saved in:
5
Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric
;
Chan, Joshua
;
Strachan, Rodney W.
-
2014
Persistent link: https://www.econbiz.de/10010348808
Saved in:
6
Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002365024
Saved in:
7
Likelihood based inference for diffusion driven models
Chib, Siddhartha
(
contributor
);
Pitt, Michael K.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002459152
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
Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2000
Persistent link: https://www.econbiz.de/10009581672
Saved in:
10
Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
Persistent link: https://www.econbiz.de/10002396452
Saved in:
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