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~person:"Calvet, Laurent E."
~subject:"Markov-Kette"
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Markov-Kette
Volatility
21
Volatilität
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Theorie
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Theory
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11
Kapitaleinkommen
11
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Statistical distribution
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Statistische Verteilung
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Markov-switching multifractal
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Option pricing theory
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Calvet, Laurent E.
Fisher, Adlai J.
3
Thompson, Samuel B.
3
Fisher, Adlai
2
Fearnley, Marcus
1
Fisher, Aiden
1
Fisher, Mark
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Gilles, Christian
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Green, David
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Leippold, Markus
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Journal of econometrics
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ECONIS (ZBW)
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1
Volatility Comovement : A Multifrequency Approach
Calvet, Laurent E.
;
Fisher, Adlai J.
;
Thompson, Samuel …
-
2021
) introduced in Calvet and
Fisher
(2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood …
Persistent link: https://www.econbiz.de/10013231009
Saved in:
2
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.
;
Fearnley, Marcus
;
Fisher, Adlai
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
Saved in:
3
Volatility comovement: a multifrequency approach
Calvet, Laurent E.
;
Fisher, Adlai
;
Thompson, Samuel B.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 179-215
Persistent link: https://www.econbiz.de/10003298573
Saved in:
4
Volatility comovement : a multifrequency approach
Calvet, Laurent E.
;
Fisher, Adlai J.
;
Thompson, Samuel B.
-
2004
Persistent link: https://www.econbiz.de/10002195944
Saved in:
5
Volatility Comovement : A Multifrequency Approach
Calvet, Laurent E.
-
2004
) introduced in Calvet and
Fisher
(2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood …
Persistent link: https://www.econbiz.de/10012467993
Saved in:
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