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  • Search: subject:"Integrated Volatility Proxy"
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Subject
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Continuous-time Stochastic Volatility Model 2 Integrated Volatility Proxy 2 Maximum Likelihood Estimation 2 Aktienmarkt 1 Börsenkurs 1 Estimation theory 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Schätztheorie 1 Share price 1 South Korea 1 Stochastic process 1 Stochastischer Prozess 1 Stock market 1 Südkorea 1 USA 1 United States 1 Volatility 1 Volatilität 1
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Free 1 Undetermined 1
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Article 2
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Choi, Seungmoon 2
Published in...
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Han gug gae bal yeon gu 1 KDI Journal of Economic Policy 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models
Choi, Seungmoon - In: KDI Journal of Economic Policy 40 (2018) 4, pp. 1-22
and S&P 500 Index. For the latent volatility variable, we generate and use the integrated volatility proxy using the … the fact that the long-run mean level of the integrated volatility proxy (IV) was not statistically significant in either …
Persistent link: https://www.econbiz.de/10012034837
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Cover Image
Comparison of the Korean and US stock markets using continuous-time stochastic volatility models
Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011954453
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