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~isPartOf:"Energy economics"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Volatilität"
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Search: subject:"Markov-Chain Monte Carlo"
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Volatilität
Bayes-Statistik
102
Bayesian inference
102
Theorie
38
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38
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27
Monte Carlo simulation
26
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Martin, Gael M.
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Forbes, Catherine Scipione
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Frazier, David T.
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Wright, Jill
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Bastianin, Andrea
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Sgarra, Carlo
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Shively, Thomas S.
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Stephan, Patrick
1
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Energy economics
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
CAMA working paper series
19
Working paper
15
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International journal of forecasting
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Applied economics letters
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of risk and financial management : JRFM
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Macroeconomic dynamics
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Central European journal of economic modelling and econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Research in international business and finance
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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The econometrics journal
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The journal of futures markets
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1
ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
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
A weekly structural VAR model of the US crude oil market
Valenti, Daniele
;
Bastianin, Andrea
;
Manera, Matteo
- In:
Energy economics
121
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014438651
Saved in:
5
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
6
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
7
Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
Saved in:
8
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
9
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
10
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
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