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~subject:"Maximum likelihood estimation"
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Simulation of multivariate dif...
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Maximum likelihood estimation
stochastic volatility
26
Theorie
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Theory
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Forecasting
21
Estimation theory
20
Schätztheorie
19
realized volatility
19
GARCH
18
long memory
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Stochastic process
15
Stochastischer Prozess
15
high-frequency data
13
jumps
12
Volatility
11
fractional integration
11
likelihood inference
11
Cointegration
10
High-Frequency Data
10
Maximum-Likelihood-Schätzung
10
Realized volatility
10
stable convergence
10
Central Limit Theorem
9
Markov chain
9
Aid effectiveness
8
Realized Variance
8
central limit theorem
8
fractional cointegration
8
high frequency data
8
Markov-Kette
7
Marriage
7
Realized Volatility
7
Stochastic Volatility
7
cointegration
7
efficiency
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growth
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kernel estimation
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nonparametric
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wild bootstrap
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Free
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English
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Sørensen, Michael
10
Lasak, Katarzyna
4
Baltazar-Larios, Fernando
2
Kelly, Leah
2
Platen, Eckhard
2
Bibby, Bo Martin
1
Bladt, Mogens
1
Carlini, Federico
1
Jacobsen, Martin
1
Munkholt Jakobsen, Nina
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School of Economics and Management, University of Aarhus
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Centre for Analytical Finance <Århus>
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CREATES Research Papers
4
CREATES research paper
3
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Handbook of financial time series
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
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Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bladt, Mogens
;
Sørensen, Michael
-
2010
Persistent link: https://www.econbiz.de/10008651750
Saved in:
2
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael
- In:
Handbook of financial time series
,
(pp. 531-553)
.
2009
Persistent link: https://www.econbiz.de/10003834179
Saved in:
3
Efficient estimation for ergodic diffusions sampled at high frequency
Sørensen, Michael
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003734476
Saved in:
4
Estimation for discretely observed diffusions using transform functions
Kelly, Leah
(
contributor
);
Platen, Eckhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001763246
Saved in:
5
Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
Saved in:
6
Estimation for discretely observed diffusions using transform functions
Kelly, Leah
;
Platen, Eckhard
;
Sørensen, Michael
-
2003
Persistent link: https://www.econbiz.de/10002250862
Saved in:
7
Estimating functions for discretely sampled diffusion-type models
Bibby, Bo Martin
;
Jacobsen, Martin
;
Sørensen, Michael
-
2010
Persistent link: https://www.econbiz.de/10003900641
Saved in:
8
Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando
;
Sørensen, Michael
-
2010
Persistent link: https://www.econbiz.de/10008651742
Saved in:
9
Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando
;
Sørensen, Michael
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 407-423)
.
2010
Persistent link: https://www.econbiz.de/10008749174
Saved in:
10
Efficient estimation for diffusions sampled at high frequency over a fixed time interval
Munkholt Jakobsen, Nina
;
Sørensen, Michael
-
2015
Persistent link: https://www.econbiz.de/10011327728
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