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~person:"Kristensen, Dennis"
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Approximate Bayesian Computation
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2
Realized volatility
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Bayes-Statistik
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Kristensen, Dennis
Guo, Xianping
8
Prieto-Rumeau, Tomás
8
Benth, Fred Espen
6
Cui, Zhenyu
6
Friedman, Daniel
6
Hernández-Lerma, Onésimo
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Oprea, Ryan
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Scalas, Enrico
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Zhang, Yi
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Nowman, Kalid Ben
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Park, Joon Y.
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Posch, Olaf
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Bernard, Benjamin
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Federici, Daniela
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Trimborn, Timo
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Ban, Xuegang
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Jevtić, Petar
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Klüppelberg, Claudia
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Kutner, Ryszard
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Laraki, Rida
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Ma, Rui
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Martínez Martínez, Ismael
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Meerschaert, Mark M.
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Miao, Jianjun
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Journal of Empirical Finance
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Journal of Financial Economics
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ECONIS (ZBW)
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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:
2
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
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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