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~person:"Klüppelberg, Claudia"
~source:"econstor"
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Search: subject:"Continuous Time"
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COGARCH
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GARCH
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GARCH process
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L_evy process
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Lévy process
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continuous time GARCH
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continuous time GARCH process
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generalised Ornstein-Uhlenbeck process
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moment estimators
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self-decomposable distribution
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Klüppelberg, Claudia
Posch, Olaf
9
Friedman, Daniel
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Wälde, Klaus
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Oprea, Ryan
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Riedel, Frank
4
Andersen, Torben G.
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Bollerslev, Tim
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Ebina, Takeshi
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Flaschel, Peter
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Franke, Reiner
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Haug, Stephan
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Henwood, Keith
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Matsushima, Noriaki
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Steg, Jan-Henrik
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Szydlowski, Martin
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Trimborn, Timo
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Bayer, Christian
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Behringer, Stefan
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Benndorf, Volker
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Czado, Claudia
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Federici, Daniela
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Gentle, James E.
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Hayo, Bernd
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Hong, Yongmiao
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Härdle, Wolfgang Karl
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Kitti, Mitri
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Kleinow, Torsten
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Martinez-Martinez, Ismael
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Niehof, Britta
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Nuño, Galo
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Parra-Alvarez, Juan Carlos
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Adrian, Tobias
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Estimating the COGARCH(1,1) model: a first go
Haug, Stephan
;
Klüppelberg, Claudia
;
Lindner, A.
;
Zapp, M.
-
2005
We suggest moment estimators for the parameters of a
continuous
time
GARCH(1,1) process based on equally spaced …
Persistent link: https://www.econbiz.de/10010332972
Saved in:
2
Continuous
time
volatility modelling: COGARCH versus Ornstein-Uhlenbeck models
Klüppelberg, Claudia
;
Lindner, Alexander M.
;
Maller, Ross
-
2005
Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process. The latter is a
continuous
time
GARCH process …
Persistent link: https://www.econbiz.de/10010275682
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