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~subject:"Nichtparametrisches Verfahren"
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Nichtparametrisches Verfahren
Bayesian inference
27
Bayes-Statistik
26
Theorie
23
Theory
23
State space model
16
Time series analysis
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Zustandsraummodell
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Monte Carlo simulation
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Option pricing theory
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Estimation
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Share price
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Forecasting model
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Nonlinear state space model
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Nonparametric statistics
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Prognoseverfahren
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Statistical inference
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Schätztheorie
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Stochastic volatility
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Dynamic price and volatility jumps
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English
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Forbes, Catherine Scipione
7
Martin, Gael M.
7
Maneesoonthorn, Worapree
6
Grose, Simone D.
2
McCabe, Brendan Peter Martin
1
Ng, Jason
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Working paper / Department of Econometrics and Business Statistics, Monash University
4
Journal of econometrics
2
International journal of forecasting
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ECONIS (ZBW)
7
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1
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
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
5
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
Saved in:
6
Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Ng, Jason
;
Forbes, Catherine Scipione
;
Martin, Gael M.
; …
- In:
International journal of forecasting
29
(
2013
)
3
,
pp. 411-430
Persistent link: https://www.econbiz.de/10009787038
Saved in:
7
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
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