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subject:"Theorie"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Quantitative finance"
~subject:"Volatility"
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Search: subject_exact:"Testverteilung"
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Theorie
Volatility
Statistical distribution
236
Statistische Verteilung
236
Theory
159
Risikomaß
88
Risk measure
88
Risk
54
Risiko
53
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51
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51
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48
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Landsman, Zinoviy
10
Furman, Edward
7
Cossette, Hélène
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Su, Jianxi
5
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4
Hua, Lei
4
Mao, Tiantian
4
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4
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3
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Dhaene, Jan
3
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3
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3
Makov, Udi
3
Mtalai, Itre
3
Sarabia Alzaga, José Maria
3
Sherris, Michael
3
Valdez, Emiliano
3
Vernic, Raluca
3
Yuan, Zhongyi
3
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2
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2
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2
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2
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2
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2
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2
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Insurance / Mathematics & economics
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Journal of econometrics
105
Discussion paper / Tinbergen Institute
79
Risks : open access journal
61
International journal of forecasting
54
Economics letters
51
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
European journal of operational research : EJOR
48
International journal of theoretical and applied finance
41
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38
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Scandinavian actuarial journal
32
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of economic dynamics & control
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
171
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
3
Distributionally robust end-to-end portfolio construction
Costa, Giorgio
;
Iyengar, Garud N.
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1465-1482
Persistent link: https://www.econbiz.de/10014419171
Saved in:
4
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
5
Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik
;
Hacini, Mehdi-Vincent
;
Somefun, Koye
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10014551942
Saved in:
6
Tail risk aversion and backwardation of index futures
Liang, Jufang
;
Yang, Dan
;
Han, Qian
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 387-407
Persistent link: https://www.econbiz.de/10014552026
Saved in:
7
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
8
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:
9
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
10
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás
;
Nedényi, Fanni K.
;
Sütő, László
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
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