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~institution:"Centre for Analytical Finance <Århus>"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"Estimation theory"
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Estimation theory
Monte Carlo simulation
12
Monte-Carlo-Simulation
12
Markov chain Monte Carlo
11
Theorie
8
Theory
8
Bayesian inference
5
Schätztheorie
5
importance sampling
5
Kleinste-Quadrate-Methode
4
Least squares method
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neural networks
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Markov Chain Monte Carlo
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Option pricing theory
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Optionspreistheorie
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Gibbs sampler
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Kalman filter
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Markov chain
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Markov-Kette
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Polar coordinates
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Yield curve
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radial coordinates
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simulation
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unobserved components
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(t
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Analysis of variance
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Band pass filter
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Bayes-Statistik
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Bayesian analysis
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CAViaR model
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Cointegration
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Estimation
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Financial economics
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Fourier analysis
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GARCH
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Hedging
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Bladt, Mogens
1
Christensen, Bent Jesper
1
Poulsen, Rolf
1
Schmid, Wolfgang
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Søndergaard Rasmussen, Nicki
1
Sørensen, Helle
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Sørensen, Michael
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Tzotchev, Dobromir
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Centre for Analytical Finance <Århus>
Erasmus University Rotterdam, Econometric Institute
National Bureau of Economic Research
19
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
3
Ekonomiska forskningsinstitutet <Stockholm>
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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University of Chicago / Graduate School of Business
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Aarhus Universitet / Afdeling for Nationaløkonomi
1
Center for Economic Research <Tilburg>
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Centre for Quantitative Economics & Computing
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Computer Research Center for Economics and Management Science, National Bureau of Economic Research, inc.
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European University Institute / Department of Economics
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European University Institute / Department of Law
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Europäische Kommission / Gemeinsame Forschungsstelle
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Europäische Kommission / Scientific, Technical and Economic Committee for Fisheries
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Federal Reserve System / Division of Research and Statistics
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Gottfried Wilhelm Leibniz Universität Hannover
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INSEAD
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Københavns Universitet / Økonomisk Institut
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Massachusetts Institute of Technology / Department of Economics
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National Bureau of Economic Research inc.
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Nationalekonomiska Institutionen <Lund>
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Shakai-Keizai-Kenkyūsho <Osaka>
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State University of New York at Albany / Department of Economics
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Universitetet i Oslo / Økonomisk institutt
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University of Chicago / Graduate School of Business / Department of Economics
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University of Exeter / Department of Economics
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University of Sheffield / Department of Economics
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University of Strathclyde / Department of Economics
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University of Toronto / Department of Economics
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Universität Basel / Institut für Statistik und Ökonometrie
1
Université de Montréal / Département de sciences économiques
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Sequential monitoring of the statistical properties of the univariate affine diffusion with application to interest
Schmid, Wolfgang
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491667
Saved in:
2
Statistical inference for discretely observed Markov jump processes
Bladt, Mogens
(
contributor
);
Sørensen, Michael
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793919
Saved in:
3
Efficient control variates for Monte-
Carlo
valuation of American options
Søndergaard Rasmussen, Nicki
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724268
Saved in:
4
Monte
Carlo
improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587483
Saved in:
5
Parametric inference for diffusion processes observed at discrete points in time : a survey
Sørensen, Helle
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702316
Saved in:
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