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29 research outputs found
Volatility and Variance Swap for the Cogarch(1,1) Model
Author
A Javaheri
A Swishchuk
+20 more
A Swishchuk
Anatoliy V. Swishchuk
C Kl�ppelberg
C Kl�ppelberg
D Applebaum
D B Nelson
F C Drost
J Kallsen
J.-C Duan
K Demeterfi
L De Haan
O Brockhaus
O E Barndorff-Nielsen
P Brockwell
S Haug
S Haug
T Bollerslev
V V Anh
W Schoutens
Y Kazmerchuk
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref
General Multivariate Dependence Using Associated Copulas
Author
A K Gupta
A K Nikoloulopoulos
+28 more
A K Nikoloulopoulos
A Mcneil
A Sklar
B Abdous
C Kl�ppelberg
C Kl�ppelberg
D Kelker
E A Valdez
H B Fang
H Joe
H Joe
H Joe
H Joe
K T Fang
M Fr�chet
M.-H Zhang
P Embrechts
P Embrechts
P Embrechts
P Embrechts
P Georges
R B Nelsen
S Das Gupta
S Demarta
T Mikosch
X Huang
Yuri Salazar
Z Landsman
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Unit Root Vector Autoregression with Volatility Induced Stationarity
Author
A Aue
A Carta
+34 more
A Le
Anders Rahbek
B M Brown
C Francq
C Gourieroux
C Kl�ppelberg
C Kl�ppelberg
D Tj�stheim
F A Bec
F Bec
F Comte
G Cavaliere
G Cavaliere
Heino Bohn Nielsen
I Berkes
J A Doornik
J C Cox
L Bauwens
L Dieci
M Avarucci
M Borkovec
M Borkovec
P D Feigin
P W Fong
R Engle
S Johansen
S Ling
S Ling
S Ling
S T Jensen
S T Jensen
T Jeantheau
T Lange
W C Xie
Publication venue
'Elsevier BV'
Publication date
01/01/2012
Field of study
No full text
Crossref
Speculation and Power Law
Author
A.-H Sato
B Basrak
+17 more
C Kl�ppelberg
C M Goldie
C M Goldie
D Buraczewski
E Samanidou
H Kesten
J.-P Bouchaud
M E Newman
P Bougerol
R Durrett
Sabiou Inoua
T Lux
T Mikosch
T Mikosch
V Plerou
W Vervaat
X Gabaix
Publication venue
'Elsevier BV'
Publication date
01/01/2017
Field of study
No full text
Crossref
Discrete Time Approximation of a COGARCH(p,q) Model and its Estimation (Preliminary Version)
Author
A Brouste
A Brouste
+16 more
A Szimayer
C A Desoer
C Kl�ppelberg
D Serre
E Chadraa
Edit Rroji
G M�ller
Lorenzo Mercuri
M Iacus
M Iacus
P Billingsley
P Brockwell
R A Maller
S Haug
Stefano Maria Iacus
T Strom
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Measuring Risk with COGARCH(p,q) Models
Author
A Hitaj
A Hitaj
+18 more
A Hyvarinen
A Szimayer
C Alexander
C Kl�ppelberg
E H Wu
Francesco Bianchi
I Jolliffe
Lorenzo Mercuri
M L Bianchi
N Growe-Kuska
P J Brockwell
R A Maller
S Babaei
S M Iacus
S M Iacus
S M Iacus
S T Rachev
T Bollerslev
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Fractional Brownian Motion and the Inherent Exclusion of Arbitrage
Author
A Dasgupta
A N Shiryayev
+25 more
B B Mandelbrot
C Bender
C Bender
C Kl�ppelberg
C Necula
E Bayraktar
F Delbaen
F E Benth
L C G Rogers
L Della Ratta
P Cheridito
P Cheridito
P Cheridito
P Guasoni
R J Elliott
Rainer Schoebel
S P Sethi
S Rostek
S Rostek
Stefan Rostek
T Bjork
T E Duncan
T Sottinen
T Sottinen
Y Hu
Publication venue
'Elsevier BV'
Publication date
01/01/2010
Field of study
No full text
Crossref
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Author
A Tikhonov
B Van Es
+24 more
C Kl�ppelberg
C Mancini
F Black
F Comte
George E. Tauchen
J Fan
J Jacod
J Jacod
K Sato
O Barndorff-Nielsen
O Barndorff-Nielsen
O Barndorff-Nielsen
P Mykland
Prakasa Rao
R Koenker
T Andersen
T Bollerslev
T G Andersen
V Kryzhniy
V Kryzhniy
V Todorov
V Todorov
Viktor Todorov
W Feller
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
The Cogarch: A Review, with News on Option Pricing and Statistical Inference
Author
A Linder
A Linder
+52 more
A Lindner
A Szimayer
A Szimayer
Alexander Szimayer
C Kl�ppelberg
C Kl�ppelberg
C M Goldie
C M Goldie
C. Klüppelberg
D B Madan
D B Madan
D B Madan
D B Nelson
E Fama
E Platen
Eberlein
F Black
F Coquet
F Delbaen
G M�ller
G M�ller
G Panayotov
H F�llmer
H Kesten
H Markowitz
J C Duan
J Kallsen
J Kallsen
J L Doob
J M Harrison
J M Harrison
K Sato
K.-I Sato
L D Brown
O A Dickey
O E Barndorff-Nielsen
P Diaconis
P J Brockwell
R A Maller
R B Durand
R F Engle
R Stelzer
Ross Maller
S Haug
S J Taylor
T Bollerslev
T Mikosch
V Corradi
V Fasen
V Todorov
W Vervaat
Y Wang
Publication venue
'Elsevier BV'
Publication date
01/01/2010
Field of study
No full text
Crossref
Semiparametric Gaussian Copula Models: Geometry and Efficient Rank-Based Estimation
Author
A W Van Der Vaart
A W Van Der Vaart
+26 more
B Brahimi
Bas J. M. Werker
C A J Klaassen
C A J Klaassen
C Genest
C Genest
C Genest
C Kl�ppelberg
D Oakes
D Oakes
E Liebscher
G W Hardy
H Liu
H Tsukahara
I Hobaek Haff
J R Magnus
Johan Segers
Le Cam
P D Hoff
P D Hoff
P J Bickel
Q Li
R D Gordon
Ramon van den Akker
T De Wet
X Chen
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
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