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~isPartOf:"Statistical Inference for Stochastic Processes"
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continuous time
2
diffusion processes
2
Almost periodic covariance
1
Asymptotic normality
1
Bayesian estimator
1
Compound Poisson process
1
Consistent estimator
1
Continuous time hidden Markov models
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Continuous time process
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Continuous-time diffusion
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Nonlinear threshold models
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Primary 62G30
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application to economics
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asymptotic variance
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bandwidth selection
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cointegration
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continuous time finance
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continuous time stochastic process
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dependent data
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derivatives pricing
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discretely sampled continuous time Markov models
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identification
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idiosyncratic risk
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kernel estimate
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likelihood function
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martingale estimating functions
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matrix exponential
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Sørensen, Michael
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Chan, Ngai
1
Chigansky, Pavel
1
Dehay, Dominique
1
Kessler, M.
1
Kessler, Mathieu
1
Kutoyants, Yury
1
Küchler, Uwe
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McCrorie, J.
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Melenberg, Bertrand
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Monsan, Vincent
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Rahbek, A.
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Statistical Inference for Stochastic Processes
Physica A: Statistical Mechanics and its Applications
33
CESifo Working Paper
17
European journal of operational research : EJOR
16
Journal of economic dynamics & control
13
MPRA Paper
13
Quantitative Finance
13
CESifo Working Paper Series
11
Computational Statistics
11
Journal of economic theory
11
Mathematical Methods of Operations Research
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Working Paper
11
Journal of econometrics
10
Dynamic games and applications : DGA
9
Statistics & Probability Letters
9
CESifo working papers
8
Finance and Stochastics
8
Insurance / Mathematics & economics
8
Cowles Foundation Discussion Papers
7
Economic Theory
7
Finance
7
Games and economic behavior
7
International Journal of Theoretical and Applied Finance (IJTAF)
7
International journal of theoretical and applied finance
7
Journal of empirical finance
7
Journal of mathematical economics
7
CEPR Discussion Papers
6
CREATES Research Papers
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Computers & operations research : and their applications to problems of world concern ; an international journal
6
Discussion Paper
6
European Journal of Operational Research
6
IZA Discussion Papers
6
Stochastic Processes and their Applications
6
Annals of finance
5
CIRANO Working Papers
5
International journal of production research
5
Journal of economic behavior & organization : JEBO
5
Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematics and Computers in Simulation (MATCOM)
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Mathematics of operations research
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On parameter estimation of threshold autoregressive models
Chan, Ngai
;
Kutoyants, Yury
- In:
Statistical Inference for Stochastic Processes
15
(
2012
)
1
,
pp. 81-104
Persistent link: https://www.econbiz.de/10010539196
Saved in:
2
A simple estimator for discrete-time samples from affine stochastic delay differential equations
Küchler, Uwe
;
Sørensen, Michael
- In:
Statistical Inference for Stochastic Processes
13
(
2010
)
2
,
pp. 125-132
Persistent link: https://www.econbiz.de/10008456194
Saved in:
3
Maximum likelihood estimator for hidden Markov models in
continuous
time
Chigansky, Pavel
- In:
Statistical Inference for Stochastic Processes
12
(
2009
)
2
,
pp. 139-163
Persistent link: https://www.econbiz.de/10005004376
Saved in:
4
Discrete Periodic Sampling with Jitter and Almost Periodically Correlated Processes
Dehay, Dominique
;
Monsan, Vincent
- In:
Statistical Inference for Stochastic Processes
10
(
2007
)
3
,
pp. 223-253
Persistent link: https://www.econbiz.de/10005184572
Saved in:
5
On Time-Reversibility and Estimating Functions for Markov Processes
Kessler, Mathieu
;
Sørensen, Michael
- In:
Statistical Inference for Stochastic Processes
8
(
2005
)
1
,
pp. 95-107
Persistent link: https://www.econbiz.de/10005616014
Saved in:
6
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
Kessler, M.
;
Rahbek, A.
- In:
Statistical Inference for Stochastic Processes
7
(
2004
)
2
,
pp. 137-151
Persistent link: https://www.econbiz.de/10005616066
Saved in:
7
The Likelihood of the Parameters of a
Continuous
Time
Vector Autoregressive Model
McCrorie, J.
- In:
Statistical Inference for Stochastic Processes
5
(
2002
)
3
,
pp. 273-286
Persistent link: https://www.econbiz.de/10005184573
Saved in:
8
The Asymptotic Variance of the
Continuous-Time
Kernel Estimator with Applications to Bandwidth Selection
Sköld, M.
- In:
Statistical Inference for Stochastic Processes
4
(
2001
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10005616064
Saved in:
9
A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets
Melenberg, Bertrand
;
Werker, Bas
- In:
Statistical Inference for Stochastic Processes
2
(
1999
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10005615998
Saved in:
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