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  1. Inference on self-exciting jumps in prices and volatility using high frequency measures
    Author: Maneesoonthorn, Worapree; Forbes, Catherine Scipione; Martin, Gael M.
    Published: December 2014
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
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    Content information
    Volltext (kostenfrei)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 14, 30
    Subjects: Dynamic price and volatility jumps; Stochastic volatility; Hawkes process; Nonlinear state space model; Bayesian Markov chain Monte Carlo; Global financial crisis
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. Inference on self-exciting jumps in prices and volatility using high frequency measures
    Author: Maneesoonthorn, Worapree; Forbes, Catherine Scipione; Martin, Gael M.
    Published: March 2016
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised 14, 30
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 16, 08
    Subjects: Dynamic price and volatility jumps; Stochastic volatility; Hawkes process; Nonlinear state space model; Bayesian Markov chain Monte Carlo; Global financial crisis
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen