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~person:"Elliott, Robert J."
~person:"Phillips, Peter C. B."
~subject:"Stochastic process"
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Search: subject:"Stochastisches Modell "
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Stochastic process
Stochastischer Prozess
106
Theorie
73
Theory
73
Time series analysis
37
Zeitreihenanalyse
37
Estimation theory
20
Option pricing theory
20
Optionspreistheorie
20
Schätztheorie
20
Einheitswurzeltest
19
Unit root test
19
Markov chain
17
Markov-Kette
17
Regression analysis
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Regressionsanalyse
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Volatility
12
Volatilität
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Nichtparametrisches Verfahren
10
Nonparametric statistics
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Option trading
10
Optionsgeschäft
10
Nichtlineare Regression
9
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7
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5
Bootstrap-Verfahren
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Financial economics
5
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Elliott, Robert J.
Phillips, Peter C. B.
McAleer, Michael
93
Koopman, Siem Jan
62
Chiarella, Carl
54
Platen, Eckhard
51
Sethi, Suresh
49
Barndorff-Nielsen, Ole E.
44
Cui, Zhenyu
44
Escudero, Laureano F.
44
Ferrari, Giorgio
42
Post, Thierry
41
Takahashi, Akihiko
41
Asai, Manabu
39
Yu, Jun
39
Madan, Dilip B.
38
Benth, Fred Espen
37
Fabozzi, Frank J.
37
Shephard, Neil G.
37
Chan, Joshua
36
Gao, Jiti
35
Todorov, Viktor
34
Escobar, Marcos
33
Hainaut, Donatien
30
Linton, Oliver
30
Gil-Alaña, Luis A.
29
Wong, Hoi Ying
29
Clark, Todd E.
28
Gendreau, Michel
28
Račev, Svetlozar T.
28
Siu, Tak Kuen
28
Carr, Peter
27
Wong, Wing Keung
27
Topaloglou, Nikolas
26
Batabyal, Amitrajeet A.
25
Mumtaz, Haroon
25
Nguyen, Duy
25
Wallace, Stein W.
25
Grasselli, Martino
24
Kleijnen, Jack P. C.
24
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Cowles Foundation discussion paper
23
Cowles Foundation Discussion Paper
10
Journal of econometrics
9
Econometric theory
6
Annals of finance
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Applied mathematical finance
2
International Series in Operations Research & Management Science
2
International journal of theoretical and applied finance
2
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2
Journal of economic dynamics & control
2
Neyar diyun / ham- Merkāz le-Fittûaḥ 'al Šēm P. Sapir
2
SpringerLink / Bücher
2
The journal of futures markets
2
Working paper series / Department of Economics, Auckland Business School, The University of Auckland
2
Advances in statistics, probability and actuarial science
1
Asia-Pacific financial markets
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Econometric reviews
1
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
Global COE Hi-Stat discussion paper series
1
Handbook of financial time series
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
Journal of applied econometrics
1
Journal of banking & finance
1
Journal of quantitative economics
1
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
1
OR spectrum : quantitative approaches in management
1
Quantitative finance
1
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
School of Economics working papers / The University of Adelaide, School of Economics
1
The econometrics journal
1
The journal of derivatives : JOD
1
Time series analysis : in memory of E. J. Hannan
1
Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
106
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
A general limit theory for nonlinear functionals of nonstationary time series
Wang, Qiying
;
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013326692
Saved in:
3
Boosting the HP filter for trending time series with long range dependence
Biswas, Eva
;
Sabzikar, Farzad
;
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013464252
Saved in:
4
A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.
;
Elliott, Robert J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
Saved in:
5
Discrete fourier transforms of fractional processes with econometric applications
Phillips, Peter C. B.
-
2021
Persistent link: https://www.econbiz.de/10012807741
Saved in:
6
Robust inference with stochastic local unit root regressors in predictive regressions
Liu, Yanbo
;
Phillips, Peter C. B.
-
2021
Persistent link: https://www.econbiz.de/10012807748
Saved in:
7
Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
Saved in:
8
Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning
;
Zhu, Song-Ping
;
Elliott, Robert J.
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 1019-1033
Persistent link: https://www.econbiz.de/10014304432
Saved in:
9
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
10
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
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