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continuous time
2
diffusion processes
2
Almost periodic covariance
1
Asymptotic normality
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Bayesian estimator
1
Compound Poisson process
1
Consistent estimator
1
Continuous time hidden Markov models
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application to economics
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asymptotic variance
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bandwidth selection
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derivatives pricing
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discretely sampled continuous time Markov models
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identification
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kernel estimate
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Sørensen, Michael
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Chan, Ngai
1
Chigansky, Pavel
1
Dehay, Dominique
1
Kessler, M.
1
Kessler, Mathieu
1
Kutoyants, Yury
1
Küchler, Uwe
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McCrorie, J.
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Melenberg, Bertrand
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Monsan, Vincent
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Statistical Inference for Stochastic Processes
Physica A: Statistical Mechanics and its Applications
33
MPRA Paper
13
Quantitative Finance
13
Computational Statistics
11
Mathematical Methods of Operations Research
11
Statistics & Probability Letters
9
Finance and Stochastics
8
Economic Theory
7
Finance
7
International Journal of Theoretical and Applied Finance (IJTAF)
7
CEPR Discussion Papers
6
European Journal of Operational Research
6
Stochastic Processes and their Applications
6
Mathematics and Computers in Simulation (MATCOM)
5
Post-Print / HAL
5
Dynamic Games and Applications
4
Insurance: Mathematics and Economics
4
Journal of Economic Dynamics and Control
4
Journal of Economic Theory
4
SFB 373 Discussion Papers
4
Tinbergen Institute Discussion Papers
4
Annals of Finance
3
Applied Mathematical Finance
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Department of Economics, Working Paper Series
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Economics Letters
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Economics Papers from University Paris Dauphine
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Journal of Empirical Finance
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Journal of Global Optimization
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LSE Research Online Documents on Economics
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Management Science
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PIER Working Paper Archive
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Santa Cruz Department of Economics, Working Paper Series
3
TOP: An Official Journal of the Spanish Society of Statistics and Operations Research
3
Transportation Research Part B: Methodological
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Working Paper
3
2006 Meeting Papers
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Annals of the Institute of Statistical Mathematics
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Bulletin of the Czech Econometric Society
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1
On parameter estimation of threshold autoregressive models
Chan, Ngai
;
Kutoyants, Yury
- In:
Statistical Inference for Stochastic Processes
15
(
2012
)
1
,
pp. 81-104
Persistent link: https://www.econbiz.de/10010539196
Saved in:
2
A simple estimator for discrete-time samples from affine stochastic delay differential equations
Küchler, Uwe
;
Sørensen, Michael
- In:
Statistical Inference for Stochastic Processes
13
(
2010
)
2
,
pp. 125-132
Persistent link: https://www.econbiz.de/10008456194
Saved in:
3
Maximum likelihood estimator for hidden Markov models in
continuous
time
Chigansky, Pavel
- In:
Statistical Inference for Stochastic Processes
12
(
2009
)
2
,
pp. 139-163
Persistent link: https://www.econbiz.de/10005004376
Saved in:
4
Discrete Periodic Sampling with Jitter and Almost Periodically Correlated Processes
Dehay, Dominique
;
Monsan, Vincent
- In:
Statistical Inference for Stochastic Processes
10
(
2007
)
3
,
pp. 223-253
Persistent link: https://www.econbiz.de/10005184572
Saved in:
5
On Time-Reversibility and Estimating Functions for Markov Processes
Kessler, Mathieu
;
Sørensen, Michael
- In:
Statistical Inference for Stochastic Processes
8
(
2005
)
1
,
pp. 95-107
Persistent link: https://www.econbiz.de/10005616014
Saved in:
6
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
Kessler, M.
;
Rahbek, A.
- In:
Statistical Inference for Stochastic Processes
7
(
2004
)
2
,
pp. 137-151
Persistent link: https://www.econbiz.de/10005616066
Saved in:
7
The Likelihood of the Parameters of a
Continuous
Time
Vector Autoregressive Model
McCrorie, J.
- In:
Statistical Inference for Stochastic Processes
5
(
2002
)
3
,
pp. 273-286
Persistent link: https://www.econbiz.de/10005184573
Saved in:
8
The Asymptotic Variance of the
Continuous-Time
Kernel Estimator with Applications to Bandwidth Selection
Sköld, M.
- In:
Statistical Inference for Stochastic Processes
4
(
2001
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10005616064
Saved in:
9
A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets
Melenberg, Bertrand
;
Werker, Bas
- In:
Statistical Inference for Stochastic Processes
2
(
1999
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10005615998
Saved in:
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