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~person:"An, Yunbi"
~person:"Sardy, Sylvain"
~subject:"Laplace innovation"
~subject:"Prognoseverfahren"
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Search: subject:"stochastic volatility model"
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Laplace innovation
Prognoseverfahren
Autocovariance function
3
Stochastic process
3
Stochastic volatility model
3
Stochastischer Prozess
3
Volatility
3
Volatilität
3
ARCH model
2
ARCH-Modell
2
Asymmetric characteristics
2
Bayesian MCMC
2
Commodity futures markets
2
Forecasting model
2
GARCH
2
Markov chain
2
Markov random field
2
Markov-Kette
2
Theorie
2
Theory
2
Threshold stochastic volatility model
2
Variance Gamma model
2
Volatility forecasting
2
extreme value theory
2
forecasting
2
smoothing
2
stochastic volatility model
2
wavelet
2
Asymmetric information
1
Asymmetrische Information
1
Commodity derivative
1
Laplace innovations
1
Option pricing theory
1
Optionspreistheorie
1
Rohstoffderivat
1
State space model
1
Time series analysis
1
Variance gamma model
1
Zeitreihenanalyse
1
Zustandsraummodell
1
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An, Yunbi
Sardy, Sylvain
Clark, Todd E.
14
McCracken, Michael W.
8
Mertens, Elmar
8
Diebold, Francis X.
7
Schorfheide, Frank
7
Shin, Minchul
7
Aastveit, Knut Are
6
Carriero, Andrea
6
Huber, Florian
5
Marcellino, Massimiliano
4
Jungbacker, Borus
3
Koopman, Siem Jan
3
Neto, David
3
Frazier, David T.
2
Kaufmann, Daniel
2
Loiza-Maya, Ruben
2
Marcellino, Massimiliano Giuseppe
2
Martin, Gael M.
2
Timmermann, Allan
2
Bekierman, Jeremias
1
Dimitrov, Valentin S.
1
Escobar, Marcos
1
Friedmann, Ralph
1
Gargano, Antonio
1
Glasserman, Paul
1
Gong, Zhenxian
1
Hol Uspensky, Eugenie
1
Hol, Eugenie
1
Jo, Soojin
1
Jungbacker, B.
1
Koopman, S.J.
1
Krisztin, Tamás
1
Liu, Qingfu
1
Mandal, Anandadeep
1
Pettenuzzo, Davide
1
Piribauer, Philipp
1
Poshakwale, Sunil S.
1
Recchioni, Maria Cristina
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Institut d'Economie et Econométrie, Université de Genève
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Cahiers du Département d'Econométrie
2
Pacific-Basin finance journal
1
Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva
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ECONIS (ZBW)
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Moments structure of l 1-stochastic volatility models
Neto, David
;
Sardy, Sylvain
-
2009
Persistent link: https://www.econbiz.de/10003926961
Saved in:
2
l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David
;
Sardy, Sylvain
;
Tseng, Paul
-
2009
Persistent link: https://www.econbiz.de/10003926975
Saved in:
3
Moments Structure of l1-Stochastic Volatility Models
Neto, David
;
Sardy, Sylvain
-
Institut d'Economie et Econométrie, Université de Genève
-
2008
We consider Taylor's
stochastic
volatility
model
when the innovations of the hidden log-volatility process have a …
Persistent link: https://www.econbiz.de/10010616292
Saved in:
4
Asymmetric information and volatility forecasting in commodity futures markets
Liu, Qingfu
;
Wong, Ieokhou
;
An, Yunbi
;
Zhang, Jinqing
- In:
Pacific-Basin finance journal
26
(
2014
),
pp. 79-97
Persistent link: https://www.econbiz.de/10010498758
Saved in:
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