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~subject:"Forecasting model"
~subject:"stochastic volatility"
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Search: subject:"Continuous Time"
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Forecasting model
stochastic volatility
Theorie
215
Theory
195
continuous time
114
Stochastischer Prozess
102
Stochastic process
93
Continuous time
86
Game theory
66
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Gentle, James E.
4
Härdle, Wolfgang Karl
4
McAleer, Michael
4
Nowman, Kalid Ben
4
Haug, Stephan
3
Ishida, Isao
3
Oya, Kosuke
3
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2
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2
Gao, Jiti
2
Gough, O.
2
Ma, Guiyuan
2
Mori, Yuichi
2
Siu, Chi Chung
2
Tunaru, Diana
2
Van Dellen, S.
2
Zhu, Song-Ping
2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Haslip, Gareth G.
1
Hatemi-J, Abdulnasser
1
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1
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1
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Department of Economics and Business, Universitat Pompeu Fabra
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
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1
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1
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1
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1
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1
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2
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International review of financial analysis
2
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2
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The empirical economics letters : a monthly international journal of economics
2
The journal of computational finance
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
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1
Handbook of economic forecasting ; 1
1
International journal of bonds and derivatives
1
International journal of financial engineering and risk management
1
International journal of theoretical and applied finance
1
Journal of econometrics
1
Journal of economic studies
1
Journal of empirical finance
1
Journal of forecasting
1
KIER Working Papers
1
Mathematical methods of operations research : ZOR
1
Review of quantitative finance and accounting
1
Statistical Inference for Stochastic Processes
1
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ECONIS (ZBW)
20
RePEc
15
EconStor
5
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1
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1
On a regime switching illiquid high volatile prediction model for cryptocurrencies
El-Khatib, Youssef
;
Hatemi-J, Abdulnasser
- In:
Journal of economic studies
51
(
2024
)
2
,
pp. 485-498
Persistent link: https://www.econbiz.de/10014482773
Saved in:
2
A comparison of multi-factor term structure models for interbank rates
Fabozzi, Frank J.
;
Fabozzi, Francesco A.
;
Tunaru, Diana
- In:
Review of quantitative finance and accounting
61
(
2023
)
1
,
pp. 323-356
Persistent link: https://www.econbiz.de/10014342033
Saved in:
3
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
4
A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
Weiss, Farina
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
1
,
pp. 33-81
Persistent link: https://www.econbiz.de/10012488877
Saved in:
5
Optimal investment and consumption with return predictability and execution costs
Ma, Guiyuan
;
Siu, Chi Chung
;
Zhu, Song-Ping
- In:
Economic modelling
88
(
2020
),
pp. 408-419
Persistent link: https://www.econbiz.de/10012417252
Saved in:
6
Term structure modelling with quadratic CARMA processes
Tong, Zhigang
- In:
International journal of bonds and derivatives
2
(
2016
)
4
,
pp. 285-303
Persistent link: https://www.econbiz.de/10011807493
Saved in:
7
Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan
;
Siu, Chi Chung
;
Zhu, Song-Ping
- In:
European journal of operational research : EJOR
278
(
2019
)
3
,
pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
Saved in:
8
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:
9
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen
;
Oehme, Toni
;
Rösch, Daniel
;
Scheule, …
- In:
Journal of empirical finance
47
(
2018
),
pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
Saved in:
10
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
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