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~person:"Garrafa-Aragón, Hernán B."
~person:"Ignatieva, Ekaterina"
~subject:"Volatility"
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Garrafa-Aragón, Hernán B.
Ignatieva, Ekaterina
Koopman, Siem Jan
17
Asai, Manabu
13
McAleer, Michael
13
Forbes, Catherine Scipione
9
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Seeger, Norman
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Bos, Charles S.
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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
Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
Saved in:
4
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:
5
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
6
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
- In:
Journal of banking & finance
87
(
2018
),
pp. 369-379
Persistent link: https://www.econbiz.de/10011962562
Saved in:
7
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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