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~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~person:"Forbes, Catherine Scipione"
~subject:"Discretized jump diffusion model"
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Discretized jump diffusion model
Bayes-Statistik
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Bayesian inference
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Markov-Kette
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Markov chain
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Theorie
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Theory
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Volatilität
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Stochastischer Prozess
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Bayesian Markov chain Monte Carlo
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Börsenkurs
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Induktive Statistik
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Share price
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Statistical inference
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Hawkes process
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Time series analysis
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Dynamic price and volatility jumps
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Nichtparametrisches Verfahren
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Nonlinear state space model
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Forbes, Catherine Scipione
Maneesoonthorn, Worapree
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Martin, Gael M.
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Working paper / Department of Econometrics and Business Statistics, Monash University
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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
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2
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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