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subject:"Prognoseverfahren"
~accessRights:"restricted"
~isPartOf:"Quantitative finance"
~subject:"Capital income"
~subject:"Nichtparametrisches Verfahren"
~subject:"Volatilität"
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Prognoseverfahren
Capital income
Nichtparametrisches Verfahren
Volatilität
Statistical distribution
34
Statistische Verteilung
34
Theorie
17
Theory
17
Option pricing theory
12
Optionspreistheorie
12
Risikomaß
10
Risk measure
10
Stochastic process
10
Stochastischer Prozess
10
Volatility
10
Kapitaleinkommen
9
Portfolio selection
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Portfolio-Management
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Forecasting model
6
Markov chain
6
Markov-Kette
6
Estimation
5
Schätzung
5
Börsenkurs
4
Estimation theory
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
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Option pricing
4
Risiko
4
Risk
4
Schätztheorie
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Share price
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Bayes-Statistik
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Bayesian inference
3
CAPM
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Expected shortfall
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Kurtosis
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Lévy process
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Portfolio optimization
3
Tail risk
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English
17
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Aguilar, Jean-Philippe
1
Asmussen, Søren
1
Bae, Kwangil
1
Beare, Brendan K.
1
Birge, John R.
1
Bladt, Mogens
1
Canabarro, Askery
1
Chen, Qian
1
Chi, Xie
1
Chow, K. Victor
1
Chávez-Bedoya, Luis
1
Dossani, Asad
1
Douady, Raphaël
1
Favreau, Charles
1
Gagnon, Marie-Hélène
1
Gerlach, Richard
1
Glasserman, Paul
1
Hallam, Mark
1
Huptas, Roman
1
Jiang, Zhi-Qiang
1
John, Kose
1
Kane, Hayden
1
Kim, Young Shin
1
Kirkby, Justin Lars
1
Lee, Soonhee
1
Li, Jingrui
1
Olmo, Jose
1
Parent, Léo
1
Pirjol, Dan
1
Podobnik, Boris
1
Power, Gabriel J.
1
Roh, Kum-Hwan
1
Shelton, Austin
1
Sopranzetti, Ben J.
1
Stanley, H. Eugene
1
Toupin, Dominique
1
Uberti, Pierpaolo
1
Wang, Chao
1
Wang, Gang-Jin
1
Yamazaki, Akira
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Quantitative finance
International journal of forecasting
56
Journal of econometrics
41
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Applied economics
21
The North American journal of economics and finance : a journal of financial economics studies
20
Finance research letters
19
Insurance / Mathematics & economics
18
Journal of banking & finance
18
Computational economics
16
Economic modelling
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
International review of financial analysis
14
Journal of financial econometrics
14
Economics letters
13
Energy economics
13
Journal of empirical finance
13
International journal of theoretical and applied finance
12
International review of economics & finance : IREF
12
Econometric reviews
11
Journal of forecasting
11
Journal of international financial markets, institutions & money
11
Applied economics letters
10
Journal of applied econometrics
10
Journal of mathematical finance
10
Journal of economic dynamics & control
9
Research in international business and finance
9
European journal of operational research : EJOR
8
Pacific-Basin finance journal
8
The European journal of finance
8
Management science : journal of the Institute for Operations Research and the Management Sciences
7
Research paper series / Swiss Finance Institute
7
Review of quantitative finance and accounting
7
Discussion papers / CEPR
6
International journal of financial engineering
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
The journal of futures markets
6
Journal of financial economics
5
Swiss Finance Institute Research Paper
5
The econometrics journal
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ECONIS (ZBW)
17
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1
Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe
;
Kirkby, Justin Lars
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
Saved in:
2
W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul
;
Pirjol, Dan
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
Saved in:
3
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
4
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
Uberti, Pierpaolo
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 877-886
Persistent link: https://www.econbiz.de/10014304382
Saved in:
5
The EWMA Heston model
Parent, Léo
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
Saved in:
6
Tempered stable processes with time-varying exponential tails
Kim, Young Shin
;
Roh, Kum-Hwan
;
Douady, Raphaël
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
Saved in:
7
Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 255-271
Persistent link: https://www.econbiz.de/10013167736
Saved in:
8
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
9
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
10
Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.
;
Chávez-Bedoya, Luis
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 199-219
Persistent link: https://www.econbiz.de/10012424559
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