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Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868

Fully nonparametric estimation of scalar diffusion models

Bandi, Federico M.; Phillips, Peter C. B. - 2001

Persistent link: https://www.econbiz.de/10001618860

An experimental comparison of four methods for assessing judgemental distributions

Moors, Johannes J. A.; Strijbosch, L. W. G.; … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001773777

Estimation of the mean of a univariate normal distribution when the variance is not known

Danilov, Dmitry L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001692513

Estimation of copula models for time series of possibly different lenghts

Patton, Andrew J. - 2001

Persistent link: https://www.econbiz.de/10001637762

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178