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~person:"Kristensen, Dennis"
~subject:"stochastic volatility"
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Search: subject:"Continuous Time"
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stochastic volatility
Approximate Bayesian Computation
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Filtering
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Bayes-Statistik
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Kristensen, Dennis
Gentle, James E.
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Härdle, Wolfgang Karl
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McAleer, Michael
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Haug, Stephan
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Ishida, Isao
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Oya, Kosuke
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Gao, Jiti
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Mori, Yuichi
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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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