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~institution:"School of Economics and Management, University of Aarhus"
~person:"Creel, Michael"
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Approximate Bayesian Computation
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continuous-time processes
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filtering
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indirect inference
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jumps
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realized volatility
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stochastic volatility
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Creel, Michael
Andersen, Torben G.
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Posch, Olaf
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Bollerslev, Tim
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Frederiksen, Per Houmann
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Kristensen, Dennis
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Nielsen, Morten Ørregaard
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School of Economics and Management, University of Aarhus
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ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
Creel, Michael
;
Kristensen, Dennis
-
School of Economics and Management, University of Aarhus
-
2014
We develop novel methods for estimation and filtering of
continuous-time
models with stochastic volatility and jumps …
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