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Statistical distribution
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ECONIS (ZBW)
41
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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
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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
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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
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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
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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
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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
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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
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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
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9
The EWMA Heston model
Parent, Léo
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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10
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
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