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Persistent link: https://www.econbiz.de/10003770169

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Nell, Martin; Pohl, Philipp - In: Zeitschrift für die gesamte Versicherungswissenschaft … 95 (2006) 3, pp. 533-558

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Stochastic multi-objective production-distribution network design using simulation-based optimization

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Modelling stochastic volatility with leverage and jumps : a simulated maximum likelihood approach via particle filtering.

Malik, Sheheryar (contributor); Pitt, Michael K. (contributor) - 2009

In this paper we provide a unifed methodology in order to conduct likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...

Persistent link: https://www.econbiz.de/10003866080