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~person:"Martin, Gael M."
~type_genre:"Bibliography included"
~type_genre:"Working Paper"
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Search: subject_exact:"Contingent-claims approach"
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Option pricing theory
11
Optionspreistheorie
11
Bayes-Statistik
7
Bayesian inference
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Volatility
6
Volatilität
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Stochastic process
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Stochastischer Prozess
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Markov-Kette
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Price jump tests
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2001-2002
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Australia
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Martin, Gael M.
Härdle, Wolfgang
38
Joshi, Mark S.
23
Chiarella, Carl
21
Christoffersen, Peter F.
16
Filipović, Damir
14
Scaillet, Olivier
14
Stentoft, Lars
14
Wystup, Uwe
14
Barone-Adesi, Giovanni
13
Jacobs, Kris
13
Alòs, Elisa
12
Chesney, Marc
12
Howison, Sam
12
Kohlmann, Michael
12
Rosenberg, Joshua V.
12
Schöbel, Rainer
12
Vorst, Ton
12
Belomestny, Denis
11
Platen, Eckhard
11
Schlögl, Erik
11
Schoenmakers, John
11
Takahashi, Akihiko
11
Cerrato, Mario
10
Dumas, Bernard
10
Fengler, Matthias R.
10
Korn, Olaf
10
Prokopczuk, Marcel
10
Renault, Eric
10
Wijnbergen, Sweder van
10
Engle, Robert F.
9
Jennergren, Lars Peter
9
Leippold, Markus
9
Näslund, Bertil
9
Schlag, Christian
9
Gibson, Rajna
8
Kräussl, Roman
8
Rombouts, Jeroen V. K.
8
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7
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Working paper / Department of Econometrics and Business Statistics, Monash University
11
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ECONIS (ZBW)
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
2
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:
3
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:
4
Assessing the impact of market microstructure noise and random jumps on the relative forecasting performance of option-implied and returns-based volatility
Martin, Gael M.
;
Reidy, Andrew
;
Wright, Jill
-
2006
Persistent link: https://www.econbiz.de/10003365312
Saved in:
5
Implicit Bayesian inference using option prices
Martin, Gael M.
;
Forbes, Catherine Scipione
;
Martin, Vance
-
2003
Persistent link: https://www.econbiz.de/10001751155
Saved in:
6
Pricing Australian S&P200 options : a Bayesian approach based on generalized distributional forms
Flynn, David B.
;
Grose, Simone D.
;
Martin, Gael M.
; …
-
2003
Persistent link: https://www.econbiz.de/10001751171
Saved in:
7
Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Forbes, Catherine Scipione
;
Martin, Gael M.
;
Wright, Jill
-
2003
Persistent link: https://www.econbiz.de/10001854495
Saved in:
8
Pricing currency options in tranquil markets : modelling volatility frowns
Lim, Guay C.
;
Martin, Gael M.
;
Martin, Vance
-
2002
Persistent link: https://www.econbiz.de/10001704963
Saved in:
9
Bayesian estimation of a stochastic volatility model using option and spot prices
Forbes, Catherine Scipione
;
Martin, Gael M.
;
Wright, Jill
-
2002
Persistent link: https://www.econbiz.de/10001704968
Saved in:
10
Parametric pricing of higher order moments in S&P500 options
Lim, Guay C.
;
Martin, Gael M.
;
Martin, Vance
-
2002
Persistent link: https://www.econbiz.de/10001704970
Saved in:
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