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  • Search: subject:"Continuous-time diffusion models"
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Year of publication
Subject
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GARCH 4 continuous time diffusion models 4 models with jumps 4 stochastic volatility 4 Discrete time series models 3 Volatilität 2 ARCH-Modell 1 Bootstrap 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Börsenkurs 1 Capital Asset Pricing Model 1 Computergestütztes Verfahren 1 Continuous-time diffusion models 1 Estimation 1 Estimation theory 1 Generalized likelihood ratio test 1 Nichtparametrisches Verfahren 1 Nonparametric Kernel test 1 Nonparametric statistics 1 Schätztheorie 1 Schätzung 1 Statistical test 1 Statistische Methodenlehre 1 Statistischer Test 1 Stochastischer Prozess 1 Theorie 1 Treasury bill rate 1 Volatility 1 Zeitreihenanalyse 1 discrete time series models 1
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Online availability
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Free 4 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 1
Type of publication (narrower categories)
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Working Paper 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 5
Author
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Gentle, James E. 4 Härdle, Wolfgang Karl 4 Mori, Yuichi 2 Yan, Tianshun 1 Zhang, Liping 1
Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2
Published in...
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SFB 649 Discussion Paper 2 SFB 649 Discussion Papers 2 Portuguese economic journal 1
Source
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EconStor 2 RePEc 2 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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A comparative study of several bootstrap-based tests for the volatility in continuous-time diffusion models
Yan, Tianshun; Zhang, Liping - In: Portuguese economic journal 19 (2020) 1, pp. 33-47
Persistent link: https://www.econbiz.de/10012254540
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How computational statistics became the backbone of modern data science
Gentle, James E.; Härdle, Wolfgang Karl; Mori, Yuichi - 2011
Persistent link: https://www.econbiz.de/10010281499
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How Computational Statistics Became the Backbone of Modern Data Science
Gentle, James E.; Härdle, Wolfgang Karl; Mori, Yuichi - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
This first chapter serves as an introduction and overview for a collection of articles surveying the current state of the science of computational statistics. Earlier versions of most of these articles appeared in the first edition of Handbook of Computational Statistics: Concepts and Methods,...
Persistent link: https://www.econbiz.de/10009003678
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Modeling asset prices
Gentle, James E.; Härdle, Wolfgang Karl - 2010
As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to...
Persistent link: https://www.econbiz.de/10010270708
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Cover Image
Modeling Asset Prices
Gentle, James E.; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to...
Persistent link: https://www.econbiz.de/10008568138
Saved in:
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