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~person:"Kristensen, Dennis"
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Approximate Bayesian Computation
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2
Realized volatility
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Bayes-Statistik
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Kristensen, Dennis
Guo, Xianping
7
Prieto-Rumeau, Tomás
7
Cui, Zhenyu
6
Hernández-Lerma, Onésimo
6
Scalas, Enrico
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Zhang, Yi
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Benth, Fred Espen
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Oprea, Ryan
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Park, Joon Y.
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Bonatti, Alessandro
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Chambers, Marcus J.
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Cisternas, Gonzalo
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Friedman, Daniel
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Kolb, Aaron M.
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Ma, Rui
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Martínez Martínez, Ismael
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Trimborn, Timo
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Wen, Ching-Feng
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Ye, Liuer
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Yu, Jun
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Özyurt, Selçuk
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Abbad, Mohammed
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Albrecht, Wolfgang
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Altman, Eitan
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Arbia, Giuseppe
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Azouzi, Rachid El
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Journal of Empirical Finance
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Journal of Financial Economics
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ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael
;
Kristensen, Dennis
- In:
Journal of Empirical Finance
31
(
2015
)
C
,
pp. 85-108
We develop novel methods for estimation and filtering of
continuous-time
models with stochastic volatility and jumps …
Persistent link: https://www.econbiz.de/10011263469
Saved in:
2
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
3
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in
continuous-time
models
Kristensen, Dennis
;
Mele, Antonio
- In:
Journal of Financial Economics
102
(
2011
)
2
,
pp. 390-415
We develop a new approach to approximating asset prices in the context of
continuous-time
models. For any pricing model …
Persistent link: https://www.econbiz.de/10011039202
Saved in:
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