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~person:"Maneesoonthorn, Worapree"
~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Volatilität"
~type_genre:"Working Paper"
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Bayes-Statistik
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Bayesian Markov chain Monte Carlo
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Markov chain
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Markov-Kette
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Stochastic process
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Stochastischer Prozess
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Nichtparametrisches Verfahren
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Maneesoonthorn, Worapree
Bauwens, Luc
9
Lux, Thomas
9
Lütkepohl, Helmut
8
Martin, Gael M.
8
Meitz, Mika
8
Saikkonen, Pentti
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Forbes, Catherine Scipione
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Chiarella, Carl
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Dijk, Herman K. van
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Bertail, Patrice
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Clémençon, Stéphan
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Koopman, Siem Jan
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Liu, Ruipeng
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Netšunajev, Aleksei
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Omori, Yasuhiro
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Rodriguez, Gabriel
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Velinov, Anton
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Zhang, Xibin
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Amisano, Gianni
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Billio, Monica
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Björk, Tomas
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Bos, Charles S.
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Chourdakis, Kyriakos M.
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Francq, Christian
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Gupta, Rangan
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Hoogerheide, Lennart
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King, Maxwell L.
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Preminger, Arie
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Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
2
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
3
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
4
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
5
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
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