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  • Search: subject:"LMMs"
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Arbitrage Pricing 1 Arbitrage pricing 1 Covariance matrix 1 Derivat 1 Derivative 1 Error variance 1 Interest rate derivative 1 LMMs 1 MSE 1 Markov-functional models (MFMs) 1 Multivariate Verteilung 1 Multivariate distribution 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 Yield curve 1 Zinsderivat 1 Zinsstruktur 1 constant elasticity of variance 1 copula theory 1 interest-rate models 1 local-volatility Libor market models (LMMs) 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Gogala, Jaka 1 Kennedy, Joanne E. 1 Li, Zaixing 1
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Metrika 1 The journal of computational finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Did you mean: subject:"lsms" (43 results)
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One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka; Kennedy, Joanne E. - In: The journal of computational finance 23 (2019) 3, pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
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Two kinds of variance/covariance estimates in linear mixed models
Li, Zaixing - In: Metrika 76 (2013) 3, pp. 303-324
For longitudinal data, the within-subject covariance matrix plays an important role in statistical inference and it is of great interest to investigate this. In the paper, two kinds of estimators are investigated for the random effect covariance matrix D <Subscript>1</Subscript> and the error variance σ <Superscript>2</Superscript> in linear...</superscript></subscript>
Persistent link: https://www.econbiz.de/10010995129
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