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~subject:"Estimation"
~subject:"Share price"
~subject:"Volatilität"
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Estimation
Share price
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1,133
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10
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9
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Ma, Jingtang
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Lin, Shih-kuei
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1251
Robustness of stable volatility strategies
Branger, Nicole
;
Mahayni, Antje
;
Zieling, Daniel
- In:
Journal of economic dynamics & control
60
(
2015
),
pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Saved in:
1252
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
Saved in:
1253
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
Saved in:
1254
Which continuous-time model is most appropriate for exchange rates?
Erdemlioglu, Deniz
;
Laurent, Sébastien
;
Neely, …
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 256-268
Persistent link: https://www.econbiz.de/10011586923
Saved in:
1255
Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis
;
Kapetanios, George
;
Tzavalis, Elias
- In:
Journal of economic dynamics & control
55
(
2015
),
pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
Saved in:
1256
Hawkes processes in finance
Bacry, Emmanuel
;
Mastromatteo, Iacopo
;
Muzy, Jean-François
- In:
Market microstructure and liquidity
1
(
2015
)
1
,
pp. 1-59
Persistent link: https://www.econbiz.de/10011588193
Saved in:
1257
Momentum in the Chinese stock market : evidence from stochastic oscillator indicators
Ni, Yensen
;
Liao, Yi-Ching
;
Huang, Paoyu
- In:
Emerging markets finance & trade : a journal of the …
51
(
2015
),
pp. 99-110
Persistent link: https://www.econbiz.de/10011603395
Saved in:
1258
Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew
;
Wu, Jing Cynthia
-
2014
Persistent link: https://www.econbiz.de/10010360896
Saved in:
1259
Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
3
,
pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
Saved in:
1260
A Bayesian midas approach to modeling first and second moment dynamics
Pettenuzzo, Davide
;
Timmermann, Allan
;
Valkanov, Rossen I.
-
2014
Persistent link: https://www.econbiz.de/10010416812
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