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subject:"Monte Carlo simulation"
~person:"Maneesoonthorn, Worapree"
~subject:"Volatility"
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Search: subject_exact:"Bayessche Statistik"
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Monte Carlo simulation
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Maneesoonthorn, Worapree
Dijk, Herman K. van
36
Tsionas, Efthymios G.
24
Carriero, Andrea
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Chan, Joshua
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Ravazzolo, Francesco
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Martin, Gael M.
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Yu, Jun
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1
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:
2
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:
3
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:
4
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
5
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:
6
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
Saved in:
7
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
8
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
Saved in:
9
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
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