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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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Financing with equity-for-guarantee swaps and dynamic investment under incomplete markets
Xia, Xin; Gan, Liu - In: Economic modelling 98 (2021), pp. 349-360
Persistent link: https://www.econbiz.de/10012793994
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Operational risk of option hedging
Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
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An improved framework for approximating option prices with application to option portfolio hedging
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun; … - In: Economic modelling 59 (2016), pp. 285-296
Persistent link: https://www.econbiz.de/10011647843
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A risk index to model uncertain portfolio investment with options
Wang, Xuting; Huang, Xiaoxia - In: Economic modelling 80 (2019), pp. 284-293
Persistent link: https://www.econbiz.de/10012200594
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A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks : evidence from stock indices
Lin, Shih-kuei; Lin, Chien-hsiu; Chuang, Ming-che; … - In: Economic modelling 38 (2014), pp. 341-350
Persistent link: https://www.econbiz.de/10010419066
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Testing the martingale difference hypothesis in CO2 emission allowances
Charles, Amélie; Darné, Olivier; Fouilloux, Jessica - In: Economic modelling 28 (2011) 1/2, pp. 27-35
Persistent link: https://www.econbiz.de/10009270061
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Testing population variance in case of one sample and the difference of variances in case of two samples : example of wage and pension data sets in Serbia
Rajic, Vesna Cojbasic; Kocovic, Jelena; Loncar, Dragan; … - In: Economic modelling 29 (2012) 3, pp. 610-613
Persistent link: https://www.econbiz.de/10009544871
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Common persistence in conditional variance : a reconsideration
Li, Chang-shuai - In: Economic modelling 29 (2012) 5, pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
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Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425
Persistent link: https://www.econbiz.de/10010503037