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~person:"Kristensen, Dennis"
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Search: subject:"Continuous Time"
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Approximate Bayesian Computation
2
Closed-form approximations
1
Continuous-time models
1
Continuous-time processes
1
Filtering
1
Indirect inference
1
Jumps
1
Option pricing theory
1
Realized volatility
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Stochastic volatility
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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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stochastic volatility
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Kristensen, Dennis
Scalas, Enrico
10
Friedman, Daniel
6
Guo, Xianping
6
Hernández-Lerma, Onésimo
6
Oprea, Ryan
6
Prieto-Rumeau, Tomás
6
Andersen, Torben G.
5
Bollerslev, Tim
5
Gao, Jiti
5
Hong, Yongmiao
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McAleer, Michael
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Posch, Olaf
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Trimborn, Timo
5
Augeraud-Véron, Emmanuelle
4
Casas, Isabel
4
D'Albis, Hippolyte
4
Diebold, Francis X.
4
Gandolfo, Giancarlo
4
Guerrazzi, Marco
4
Horsley, Anthony
4
Kleinow, Torsten
4
Mainardi, Francesco
4
Raberto, Marco
4
Behringer, Stefan
3
Cardaliaguet, Pierre
3
Federici, Daniela
3
Folmer, Henk
3
Gourdel, Pascal
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Hess, Wolfgang
3
Kutner, Ryszard
3
Laraki, Rida
3
Logeay, Camille
3
Maggi, Bernardo
3
Meerschaert, Mark M.
3
Nijkamp, Peter
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Patuelli, Roberto
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Persson, Maria
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Platen, Eckhard
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Touzi, Nizar
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School of Economics and Management, University of Aarhus
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CREATES Research Papers
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Journal of Empirical Finance
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Journal of Financial Economics
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RePEc
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1
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
Saved in:
2
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:
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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