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~person:"Dijk, Dick van"
~person:"Garrafa-Aragón, Hernán B."
~subject:"Volatility"
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Search: subject_exact:"Monte Carlo simulation"
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Volatility
Monte Carlo simulation
18
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Dijk, Dick van
Garrafa-Aragón, Hernán B.
Koopman, Siem Jan
17
Asai, Manabu
13
McAleer, Michael
13
Forbes, Catherine Scipione
9
Martin, Gael M.
9
Maneesoonthorn, Worapree
8
Omori, Yasuhiro
7
Chiarella, Carl
6
Scharth, Marcel
6
Bannouh, Karim
5
Kang, Boda
5
León-González, Roberto
5
Nakajima, Jouchi
5
Oosterlee, Cornelis W.
5
Rodrigues, Paulo Jorge Maurício
5
Scaillet, Olivier
5
Seeger, Norman
5
Bos, Charles S.
4
Chang, Chia-Lin
4
Dufour, Jean-Marie
4
Grzelak, Lech A.
4
Ignatieva, Ekaterina
4
Jensen, Mark J.
4
Lucas, André
4
Martens, Martin
4
Rodriguez, Gabriel
4
Yamauchi, Yuta
4
Abanto-Valle, Carlos A.
3
Audrino, Francesco
3
Bajgrowicz, Pierre
3
Baldeaux, Jan
3
Barra, Istvan
3
Baruník, Jozef
3
Bognanni, Mark
3
Bollerslev, Tim
3
Chan, Joshua
3
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2
ERIM report series research in management
1
Econometric Institute research papers
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
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1
Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
;
Castro …
-
2021
-
Primera edición
Persistent link: https://www.econbiz.de/10013170523
Saved in:
2
Stochastic volatility in mean : empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
-
2020
Persistent link: https://www.econbiz.de/10012435606
Saved in:
3
Stochastic volatility in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 272-286
Persistent link: https://www.econbiz.de/10012655392
Saved in:
4
Forecasting volatility with the realized range in the presence of noise and non-trading
Bannouh, Karim
;
Martens, Martin
;
Dijk, Dick van
-
2012
Persistent link: https://www.econbiz.de/10009664660
Saved in:
5
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim
(
contributor
);
Dijk, Dick van
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003754160
Saved in:
6
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim
;
Dijk, Dick van
;
Martens, Martin
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
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