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Search: subject:"Continuous Time"
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Approximate Bayesian Computation
1
Continuous-Time DSGE Models
1
Linear-Quadratic Approximation
1
Perturbation Method
1
Projection Method
1
continuous-time processes
1
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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English
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Creel, Michael
1
Kristensen, Dennis
1
Parra-Alvarez, Juan Carlos
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School of Economics and Management, University of Aarhus
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CREATES Research Papers
Physica A: Statistical Mechanics and its Applications
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MPRA Paper
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Quantitative Finance
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Computational Statistics
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Mathematical Methods of Operations Research
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Statistical Inference for Stochastic Processes
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Statistics & Probability Letters
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International Journal of Theoretical and Applied Finance (IJTAF)
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European Journal of Operational Research
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Stochastic Processes and their Applications
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Insurance: Mathematics and Economics
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Journal of Economic Dynamics and Control
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Journal of Economic Theory
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TOP: An Official Journal of the Spanish Society of Statistics and Operations Research
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Transportation Research Part B: Methodological
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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 …
Persistent link: https://www.econbiz.de/10010892068
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2
A comparison of numerical methods for the solution of
continuous-time
DSGE models
Parra-Alvarez, Juan Carlos
-
School of Economics and Management, University of Aarhus
-
2013
This paper evaluates the accuracy of a set of techniques that approximate the solution of
continuous-time
DSGE models …
Persistent link: https://www.econbiz.de/10010851250
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