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  • Search: subject:"characteristic function estimation"
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Year of publication
Subject
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Estimation theory 1 Multivariate Analyse 1 Multivariate Verteilung 1 Multivariate analysis 1 Multivariate distribution 1 Multivariate variance gamma 1 Probability theory 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Wahrscheinlichkeitsrechnung 1 bivariate characteristic function estimation 1 characteristic function estimation 1 l√É©vy process 1 ornstein-uhlenbeck process 1 stochastic volatility 1 tail probabilities 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Bee, Marco 1 Leonenko, Nikolai 1 Madan, Dilip B. 1 Taufer, Emanuele 1 Wang, King 1
Institution
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Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 1
Published in...
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DISA Working Papers 1 International journal of financial engineering 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis
Madan, Dilip B.; Wang, King - In: International journal of financial engineering 9 (2022) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10013367492
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Cover Image
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models.
Bee, Marco; Taufer, Emanuele; Leonenko, Nikolai - Dipartimento di Informatica e Studi Aziendali, … - 2009
Continuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility in accommodating most stylized facts of financial time series. However, their estimation is difficult because the likelihood function does not have a closed-form expression. In...
Persistent link: https://www.econbiz.de/10008545752
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