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Year of publication
Subject
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Statistical distribution 38 Statistische Verteilung 38 Stochastic process 34 Stochastischer Prozess 34 Volatility 25 Volatilität 25 Option pricing theory 23 Optionspreistheorie 23 Theorie 23 Theory 23 Normal Inverse Gaussian 15 Capital income 13 Kapitaleinkommen 13 Risikomaß 12 Risk measure 12 Inverse Gaussian distribution 11 inverse Gaussian distribution 11 Normal Inverse Gaussian distribution 10 Lévy processes 9 Probability theory 9 Wahrscheinlichkeitsrechnung 9 Portfolio-Management 8 normal inverse Gaussian distribution 8 ARCH model 7 ARCH-Modell 7 Generalized inverse Gaussian distribution 7 Lévy process 7 Portfolio selection 7 Derivat 6 Derivative 6 Estimation 6 Normal inverse Gaussian distribution 6 Time series analysis 6 Value-at-Risk 6 Zeitreihenanalyse 6 normal inverse Gaussian process 6 Generalized hyperbolic distribution 5 Inverse Gaussian 5 Option pricing 5 Schätzung 5
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Online availability
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Undetermined 90 Free 63
Type of publication
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Article 127 Book / Working Paper 49
Type of publication (narrower categories)
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Article in journal 53 Aufsatz in Zeitschrift 53 Working Paper 9 Article 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Conference Paper 1 Conference paper 1 Konferenzbeitrag 1
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Language
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Undetermined 95 English 78 Czech 2 Italian 1
Author
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Guegan, Dominique 9 Benth, Fred Espen 5 Buhai, Sebastian 4 Corsi, Fulvio 4 Frunza, Marius-Cristian 4 Lillestøl, Jostein 4 Mittnik, Stefan 4 Pigorsch, Christian 4 Prünster, Igor 4 Teulings, Coen N. 4 Aguilar, Jean-Philippe 3 Goutte, Stéphane 3 Kretschmer, Uta 3 Kufakunesu, Rodwell 3 Landsman, Zinoviy 3 Lijoi, Antonio 3 Mabitsela, Lesedi 3 Wei, Bo-Cheng 3 Ye, Zhi-Sheng 3 Zhang, Jing 3 BOYARCHENKO, MITYA 2 Buhai, I. Sebastian 2 Chen, Nan 2 Deschamps, Philippe J. 2 Desmond, Anthony F. 2 Di Persio, Luca 2 Dong, Christine 2 Ebrahimi, Nader 2 Fabozzi, Frank J. 2 Gatumel, Mathieu 2 Ghysels, Eric 2 Ginebra, Josep 2 Griffin, Philip S. 2 Grosen, Anders 2 Göncü, Ahmet 2 Ignatieva, Ekaterina 2 Jeong, Himchan 2 Jessen, Pernille 2 Kokholm, Thomas 2 Koudou, Angelo Efoevi 2
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Institution
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HAL 5 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Center for Financial Studies 2 Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) 2 School of Economics and Management, University of Aarhus 2 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 2 Banca d'Italia 1 CESifo 1 Central European Labour Studies Institute (CELSI) 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Departement für Quantitative Wirtschaftsforschung, Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Econometric Society 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 Graduate School of Business Administration, Kobe University 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Institute for the Study of Labor (IZA) 1 International Centre for Economic Research (ICER) 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 Nationalekonomiska Institutionen, Uppsala Universitet 1 Society for Computational Economics - SCE 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Annals of the Institute of Statistical Mathematics 14 Statistics & Probability Letters 9 Metrika 6 International Journal of Theoretical and Applied Finance (IJTAF) 5 Post-Print / HAL 5 Documents de travail du Centre d'Economie de la Sorbonne 4 International journal of theoretical and applied finance 4 Journal of Applied Statistics 4 Quantitative finance 4 Risks : open access journal 4 Insurance / Mathematics & economics 3 Journal of Risk and Financial Management 3 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 3 MPRA Paper 3 Statistical Papers / Springer 3 CFS Working Paper Series 2 CREATES Research Papers 2 Computational Statistics 2 Discussion Papers / Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) 2 European journal of operational research : EJOR 2 Finance and Stochastics 2 IZA Discussion Papers 2 Journal of risk and financial management : JRFM 2 Politická ekonomie 2 Risks 2 SFB 373 Discussion Paper 2 SFB 373 Discussion Papers 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 The European Journal of Finance 2 The North American journal of economics and finance : a journal of financial economics studies 2 55th Congress of the European Regional Science Association: "World Renaissance: Changing roles for people and places", 25-28 August 2015, Lisbon, Portugal 1 ASTIN bulletin : the journal of the International Actuarial Association 1 Advances in Data Analysis and Classification 1 Applied Mathematical Finance 1 Applied economics 1 Applied mathematical finance 1 Asia-Pacific financial markets 1 Asian journal of management science and applications : AJMSA 1 CESifo Working Paper 1 CESifo Working Paper Series 1
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Source
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RePEc 106 ECONIS (ZBW) 56 EconStor 14
Showing 1 - 10 of 176
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Stochastic modeling of wind derivatives with application to the Alberta energy market
Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26
) and normal inverse Gaussian (NIG) processes, while wind speed and power series will be modeled with an Ornstein …
Persistent link: https://www.econbiz.de/10014497409
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Value-at-Risk effectiveness : a high-frequency data approach with semi-heavy tails
Contreras-Valdez, Mario Ivan; Sahu, Sonal; … - In: Risks : open access journal 12 (2024) 3, pp. 1-23
-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution … endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high …
Persistent link: https://www.econbiz.de/10014497426
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Survival energy models for mortality prediction and future prospects
Shimizu, Yasutaka; Shirai, Kana; Kojima, Yuta; Mitsuda, … - In: ASTIN bulletin : the journal of the International … 53 (2023) 2, pp. 377-391
Persistent link: https://www.econbiz.de/10014320272
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Option pricing with dynamic conditional skewness
Liang, Fang; Du, Lingshan - In: The journal of futures markets 44 (2024) 7, pp. 1154-1188
Persistent link: https://www.econbiz.de/10014553957
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Cyber risk modeling : a discrete multivariate count process approach
Lu, Yang; Zhang, Jinggong; Zhu, Wenjun - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 625-655
Persistent link: https://www.econbiz.de/10015052473
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An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Tzougas, George; Jeong, Himchan - In: Risks 9 (2021) 1, pp. 1-17
This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape …
Persistent link: https://www.econbiz.de/10013200689
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Dimension reduction via penalized GLMs for non-Gaussian response: Application to stock market volatility
Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-26
financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG …
Persistent link: https://www.econbiz.de/10013201266
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Dimension reduction via penalized GLMs for non-Gaussian response : application to stock market volatility
Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG …
Persistent link: https://www.econbiz.de/10012798738
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An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Tzougas, George; Jeong, Himchan - In: Risks : open access journal 9 (2021) 1/19, pp. 1-17
This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape …
Persistent link: https://www.econbiz.de/10012423047
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Inner spike and slab Bayesian nonparametric models
Canale, Antonio; Lijoi, Antonio; Nipoti, Bernardo; … - 2021
Persistent link: https://www.econbiz.de/10013329543
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