Oliver Grothe

KIT

Professor

Kaiserstraße 12

Karlsruhe, Baden Württemberg 76131

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

936

SSRN CITATIONS

3

CROSSREF CITATIONS

10

Scholarly Papers (3)

1.

Liquidity and Credit Risk Premia in Government Bond Yields

ECB Working Paper No. 1440
Number of pages: 42 Posted: 09 Jul 2012
Jacob Ejsing, Magdalena Grothe and Oliver Grothe
European Central Bank (ECB), European Central Bank (ECB) and KIT
Downloads 449 (123,257)
Citation 16

Abstract:

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Liquidity premium, sovereign credit risk, yield curve modeling, bond markets, state space models

2.

Liquidity-Based Estimation of Spot Volatility Under Microstructure Noise

Number of pages: 47 Posted: 05 Apr 2008 Last Revised: 19 Jan 2010
Oliver Grothe and Christoph Müller
KIT and University of Cologne
Downloads 396 (142,565)

Abstract:

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Volatility Estimation, Realized Volatility, Bayesian Parameter Estimation, Non-linear Kalman Filter, High Frequency Data, Market Microstructure

3.

The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models

Number of pages: 43 Posted: 07 Jan 2016 Last Revised: 22 Feb 2017
KIT, University of Stavanger and University of Cologne, Department of Economics
Downloads 91 (530,740)
Citation 1

Abstract:

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Ancestor sampling, Dynamic latent variable models, Efficient importance sampling, Markov chain Monte Carlo, Sequential importance sampling