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~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Portfolio selection"
~subject:"Time series analysis"
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Search: subject_exact:"Bernoulli-Prozess"
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Portfolio selection
Time series analysis
Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
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Gao, Jiti
13
Martin, Gael M.
5
Dong, Chaohua
4
Maneesoonthorn, Worapree
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Pan, Guangming
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2
McCabe, Brendan Peter Martin
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Yang, Yanrong
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Li, Degui
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Robinson, Peter M.
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Saart, Patrick
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Working paper / Department of Econometrics and Business Statistics, Monash University
Insurance / Mathematics & economics
90
Journal of econometrics
75
European journal of operational research : EJOR
71
International journal of theoretical and applied finance
59
Discussion paper / Tinbergen Institute
50
Quantitative finance
45
Finance and stochastics
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Journal of economic dynamics & control
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Econometric reviews
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CAMA working paper series
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Eigen-analysis for high-dimensional time series clustering
Zhang, Bo
;
Gao, Jiti
;
Pan, Guangming
;
Yang, Yanrong
-
2023
Persistent link: https://www.econbiz.de/10014452611
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2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
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
Saved in:
4
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
5
CLT for largest eigenvalues and unit root tests for high-dimensional nonstationary time series
Zhang, Bo
;
Pan, Guangming
;
Gao, Jiti
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2016
Persistent link: https://www.econbiz.de/10011781720
Saved in:
6
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
7
Inference on nonstationary time series with moving mean
Gao, Jiti
;
Robinson, Peter M.
-
2013
Persistent link: https://www.econbiz.de/10009789503
Saved in:
8
Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
-
2013
Persistent link: https://www.econbiz.de/10010189526
Saved in:
9
Orthogonal expansion of Lévy process functionals : theory and practice
Dong, Chaohua
;
Gao, Jiti
-
2013
Persistent link: https://www.econbiz.de/10009701598
Saved in:
10
Testing indepedence for a large number of high-dimensional random vectors
Pan, Guangming
;
Gao, Jiti
;
Yang, Yanrong
-
2013
Persistent link: https://www.econbiz.de/10009724611
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