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~isPartOf:"CoFE discussion papers"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~person:"Martin, Gael M."
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Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Volatility
4
Volatilität
4
Bayes-Statistik
3
Bayesian inference
3
Börsenkurs
3
CAPM
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Nonparametric jump measures
3
Option pricing theory
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Optionspreistheorie
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Price jump tests
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Share price
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Stochastic process
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Stochastischer Prozess
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Time series analysis
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Zeitreihenanalyse
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Bayesian Markov chain Monte Carlo
2
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Bootstrap-Verfahren
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Capital income
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Discretized jump diffusion model
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Hawkes process
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Kapitaleinkommen
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Markov chain
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Markov-Kette
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Volatility jumps
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Bias
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Bivariate jump diffusion model
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Dynamic price jumps
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Estimation
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Estimation theory
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Forecasting model
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Microstructure noise
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Martin, Gael M.
Gao, Jiti
50
Beran, Jan
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Feng, Yuanhua
15
Zhang, Xibin
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9
Linton, Oliver
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Peng, Bin
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7
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6
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5
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Poskitt, Donald Stephen
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Shang, Han Lin
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Silvapulle, Mervyn J.
5
Forbes, Catherine Scipione
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Hyndman, Rob J.
4
Maneesoonthorn, Worapree
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Yan, Yayi
4
Frazier, David T.
3
Grose, Simone D.
3
Zhang, Lina
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Zhao, Xueyan
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Abberger, Klaus
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Chen, Xiangjin B.
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Gosh, Sucharita
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CoFE discussion papers
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
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International journal of forecasting
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ECONIS (ZBW)
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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2
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
3
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
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4
Higher order improvements of the sieve bootstrap for fractionally integrated processes
Poskitt, Donald Stephen
;
Grose, Simone D.
;
Martin, Gael M.
-
2012
Persistent link: https://www.econbiz.de/10009565411
Saved in:
5
Bias reduction of long memory parameter estimators via the pre-filtered sieve bootstrap
Poskitt, Donald Stephen
;
Martin, Gael M.
;
Grose, Simone D.
-
2012
Persistent link: https://www.econbiz.de/10009565418
Saved in:
6
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
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