Similar Search Results

Handbook of financial time series

Andersen, Torben (ed.); Davis, Richard A. (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003494231

Approximation of optimal reinsurance and dividend payout policies

Bäuerle, Nicole - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10001917772

Autoregressive aided periodogram bootstrap for time series

Kreiß, Jens-Peter; Paparoditis, Efstathios - 2001

Persistent link: https://www.econbiz.de/10001618698

Bootstrap specification tests for linear covariance stationary processes

Hidalgo, Javier; Kreiß, Jens-Peter - In: Journal of econometrics 133 (2006) 2, pp. 807-839

Persistent link: https://www.econbiz.de/10003359648

Autoregressive aided periodogram bootstrap for time series

Kreiß, Jens-Peter; Paparoditis, Efstathios - 2001

A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram ordinates and imitate the essential features of the data...

Persistent link: https://www.econbiz.de/10009614876

Optimal risk allocation in reinsurance networks

Bäuerle, Nicole; Glauner, Alexander - In: Insurance / Mathematics & economics 82 (2018), pp. 37-47

Persistent link: https://www.econbiz.de/10011929783

Stochastic optimal growth model with risk sensitive preferences

Bäuerle, Nicole; Jaśkiewicz, Anna - In: Journal of economic theory 173 (2018), pp. 181-200

Persistent link: https://www.econbiz.de/10011941621

Dependence properties and comparison results for Lévy processes

Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Mathematical methods of operations research 67 (2008) 1, pp. 161-186

Persistent link: https://www.econbiz.de/10003643618

Robust optimal investment and reinsurance problems with learning

Bäuerle, Nicole; Leimcke, Gregor - In: Scandinavian actuarial journal 2021 (2021) 2, pp. 82-109

Persistent link: https://www.econbiz.de/10012500254

Extremal behavior of long-term investors with power utility

Bäuerle, Nicole; Grether, Stefanie Ulrike - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-13

Persistent link: https://www.econbiz.de/10011733956