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The empirical performance of option-based densities of foreign exchange

Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002542714

Extremal behavior of finite EGARCH processes

Lindner, Alexander M. (contributor); … - 2003

Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …

Persistent link: https://www.econbiz.de/10002719797

Advances in reliability

Balakrishnan, Narayanaswamy (contributor); … - 2001 - 1. ed.

Persistent link: https://www.econbiz.de/10001573561

Asymptotic equivalence of estimating a poisson intensity and a positive diffusion drift

Genon-Catalot, Valentine; Laredo, Catherine; Nussbaum, … - 2000

Persistent link: https://www.econbiz.de/10001528152

The empirical performance of option based densities of foreign exchange

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

Persistent link: https://www.econbiz.de/10001650407

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...