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~person:"Elliott, Robert J."
~person:"Yu, Jun"
~subject:"Stochastic process"
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Search: subject:"Stochastisches Modell "
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Stochastic process
Stochastischer Prozess
70
Theorie
43
Theory
43
Volatility
27
Volatilität
27
Option pricing theory
23
Optionspreistheorie
23
Markov chain
22
Markov-Kette
22
Time series analysis
12
Zeitreihenanalyse
12
Bayes-Statistik
7
Bayesian inference
7
Estimation theory
7
Option trading
7
Optionsgeschäft
7
Portfolio selection
7
Portfolio-Management
7
Schätztheorie
7
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Financial economics
5
Financial investment
5
Financial market
5
Finanzmarkt
5
Hedging
5
Kapitalanlage
5
Kapitalmarkttheorie
5
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5
ARCH model
4
ARCH-Modell
4
Estimation
4
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4
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4
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4
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3
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3
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Elliott, Robert J.
Yu, Jun
McAleer, Michael
93
Phillips, Peter C. B.
75
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
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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Working paper series / Department of Economics, Auckland Business School, The University of Auckland
8
Journal of econometrics
6
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4
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4
Working paper
4
Applied mathematical finance
2
Asia-Pacific financial markets
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Global COE Hi-Stat discussion paper series
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2
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The journal of futures markets
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
Advances in statistics, probability and actuarial science
1
Annals of economics and finance
1
CAFE Research Paper
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Cowles Foundation discussion paper
1
Econometric theory
1
Economic modelling
1
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Essays in honor of Joon Y. Park : econometric theory
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
Handbook of financial time series
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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
The econometrics journal
1
The journal of derivatives : JOD
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ECONIS (ZBW)
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1
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
3
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:
4
On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu
;
Zhang, Chen
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542217
Saved in:
5
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
6
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:
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
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
9
Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 73-95)
.
2023
Persistent link: https://www.econbiz.de/10014313249
Saved in:
10
Latent local-to-unity models
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
42
(
2023
)
7
,
pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
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