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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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Modelling "Bai Al Arboun" using binomial model
Omrana, Siham; Aboulaich, Rajae; Idrissi, Ali Alami - In: International journal of business 20 (2015) 3, pp. 224-236
Persistent link: https://www.econbiz.de/10011339767
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Underlying assets distribution in derivatives : the BRIC case
Núñez, José A.; Contreras-Valdez, Mario I.; … - In: Theoretical economics letters 8 (2018) 3, pp. 502-513
Persistent link: https://www.econbiz.de/10011822832
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Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
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Density forecast of financial returns using decomposition and maximum entropy
Lee, Tae-hwy; Wang, He; Xi, Zhou; Zhang, Ru - In: Journal of econometric methods 12 (2023) 1, pp. 57-83
Persistent link: https://www.econbiz.de/10013554704
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Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao; Li, Lujun; Yang, Jingping; Xie, Jiehua; … - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
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Selected reinsurance models
Heilpern, Stanisław - In: Central European journal of economic modelling and … 16 (2024) 2, pp. 95-124
Persistent link: https://www.econbiz.de/10015326080
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Modeling dynamic higher-order comoments for portfolio selection based on copula approach
Wang, Yanfeng; Ke, Rui; Yang, Dong - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10015271380
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Evaluating density forecasts using weighted multivariate scores in a risk management context
Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643
Persistent link: https://www.econbiz.de/10015144255
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Copula modelling to analyse financial data
Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11
Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the … investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of … “boom” or “bust”. Bivariate copula modelling has a rich variety of copulas that may be chosen to represent the modelled …
Persistent link: https://www.econbiz.de/10013161689