Narrow search
Showing 1 - 10 of 11,347
Cover Image
Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
Cover Image
Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
Cover Image
Extreme financial risks : from dependence to risk management
Malevergne, Yannick; Sornette, Didier - 2006
Persistent link: https://www.econbiz.de/10003042066
Cover Image
Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683
Cover Image
Distribution of stock
1955
Persistent link: https://www.econbiz.de/10000663003
Cover Image
Zur Theorie skalenparametergesplitteter Verteilungen und ihrer Anwendung auf den deutschen Aktienmarkt
Scharein, Manfred - 2005
Persistent link: https://www.econbiz.de/10003075483
Cover Image
A multivariate heavy-tailed distribution for arch/garch residuals
Politis, Dimitris N. - 2006
Persistent link: https://www.econbiz.de/10003331370
Cover Image
Modelling intra-day seasonality and forecasting densities in financial duration data
Allen, David E. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003805629
Cover Image
Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
Cover Image
Jump, non-normal error distribution and stock price volatility : a nonparametric specification test
Rahman, Mohammad Masudur; Ara, Laila Arjuman; Zheng, … - In: The Singapore economic review : journal of the Economic … 54 (2009) 1, pp. 101-121
Persistent link: https://www.econbiz.de/10003851283