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~subject:"Stochastic process"
~person:"Maneesoonthorn, Worapree"
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Stochastic process
Börsenkurs
4
CAPM
4
Nichtparametrisches Verfahren
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Nonparametric jump measures
4
Nonparametric statistics
4
Option pricing theory
4
Optionspreistheorie
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Price jump tests
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Share price
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Stochastischer Prozess
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Volatility
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Volatilität
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Volatility jumps
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Capital income
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Dynamic price jumps
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Maneesoonthorn, Worapree
Campbell, John Y.
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Guidolin, Massimo
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Branger, Nicole
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Christoffersen, Peter F.
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Post, Thierry
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Escobar, Marcos
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Giglio, Stefano
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Wilhelm, Jochen
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Akira Toda, Alexis
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Bianchi, Michele Leonardo
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Carlson, Murray
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De Groot, Oliver
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Fabozzi, Frank J.
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Fisher, Adlai
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Forbes, Catherine Scipione
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Giammarino, Ronald P. M.
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Hansen, Lars Peter
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He, Xue-zhong
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Reiß, Markus
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Working paper / Department of Econometrics and Business Statistics, Monash University
3
Journal of econometrics
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ECONIS (ZBW)
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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