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~institution:"Centre for Analytical Finance <Århus>"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"Estimation theory"
~subject:"GARCH"
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Estimation theory
GARCH
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12
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12
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11
Theorie
8
Theory
8
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5
Schätztheorie
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neural networks
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Bauwens, L.
1
Bladt, Mogens
1
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1
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1
Dijk, H.K. van
1
Poulsen, Rolf
1
Schmid, Wolfgang
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Centre for Analytical Finance <Århus>
Erasmus University Rotterdam, Econometric Institute
National Bureau of Economic Research
20
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
6
Département de Sciences Économiques, Université de Montréal
3
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
3
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
2
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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Aarhus Universitet / Afdeling for Nationaløkonomi
1
Center for Economic Research <Tilburg>
1
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
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1
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1
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
5
Econometric Institute Report
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5
RePEc
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1
Sequential monitoring of the statistical properties of the univariate affine diffusion with application to interest
Schmid, Wolfgang
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491667
Saved in:
2
Statistical inference for discretely observed Markov jump processes
Bladt, Mogens
(
contributor
);
Sørensen, Michael
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793919
Saved in:
3
Efficient control variates for Monte-
Carlo
valuation of American options
Søndergaard Rasmussen, Nicki
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724268
Saved in:
4
Monte
Carlo
improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587483
Saved in:
5
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, L.
;
Bos, C.S.
;
Dijk, H.K. van
-
Erasmus University Rotterdam, Econometric Institute
-
1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte
Carlo
method for Bayesian analysis of models with ill …
Persistent link: https://www.econbiz.de/10005051715
Saved in:
6
Parametric inference for diffusion processes observed at discrete points in time : a survey
Sørensen, Helle
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702316
Saved in:
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