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~subject:"Capital market returns"
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Search: subject:"stochastic volatility model"
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Capital market returns
Volatilität
69
Volatility
68
Stochastic process
63
Stochastischer Prozess
63
Option pricing theory
34
Optionspreistheorie
34
Stochastic volatility model
33
Theorie
29
Theory
29
Stochastic volatility
26
Stochastische Volatilität
26
Estimation
15
Schätzung
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stochastic volatility model
14
Markov chain
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Markov-Kette
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Portfolio selection
11
Portfolio-Management
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Forecasting model
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Prognoseverfahren
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Capital income
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Time series analysis
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Bayes-Statistik
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Bayesian inference
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Börsenkurs
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CAPM
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Share price
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Welt
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World
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Asai, Manabu
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Bates, David S.
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Chang, Chia-Lin
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Chiarella, Carl
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Kang, Boda
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Mandal, Anandadeep
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McAleer, Michael
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Nikitopoulos, Christina Sklibosios
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International review of financial analysis
1
Journal of econometrics
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The journal of futures markets
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ECONIS (ZBW)
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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2
How crashes develop : intradaily volatility and crash evolution
Bates, David S.
-
2016
Persistent link: https://www.econbiz.de/10011451109
Saved in:
3
What drives asymmetric dependence structure of asset return comovements?
Poshakwale, Sunil S.
;
Mandal, Anandadeep
- In:
International review of financial analysis
48
(
2016
),
pp. 312-330
Persistent link: https://www.econbiz.de/10011624528
Saved in:
4
The return-volatility relation in commodity futures markets
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 127-152
Persistent link: https://www.econbiz.de/10011568056
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