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The elasticity of a random variable as a tool for measuring and assessing risks
Veres-Ferrer, Ernesto-Jesús; Pavia, José Manuel - In: Risks : open access journal 10 (2022) 3, pp. 1-38
Elasticity is a very popular concept in economics and physics, recently exported and reinterpreted in the statistical field, where it has given form to the so-called elasticity function. This function has proved to be a very useful tool for quantifying and evaluating risks, with applications in...
Persistent link: https://www.econbiz.de/10013161568
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On the approximation of random variables by stochastic integrals with respect to semimartingales
Christopeit, Norbert - 1994
Persistent link: https://www.econbiz.de/10000891108
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Optimal stopping-related inequalities for discounted sequences of i.i.d. random variables
Boshuizen, Frans A. - 1991
Persistent link: https://www.econbiz.de/10000842066
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Approximating random variables by stochastic integrals
Schweizer, Martin - 1993
Persistent link: https://www.econbiz.de/10000880244
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A simple way of computing the inverse moments of a non-central chi-square random variable
Xie, Wen Zhi - In: Journal of econometrics 37 (1988) 3, pp. 389-393
Persistent link: https://www.econbiz.de/10003712704
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α-stable [Alpha-stable] random vectors with time varying spectral measure and applications to financial time series analysis
Hartz, Christoph - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003716514
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Prediction in the linear model under a linear constraint
Kloberdanz, Kathrin; Schmidt, Klaus D. - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 2, pp. 207-215
Persistent link: https://www.econbiz.de/10003716620
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On the product of generalized Pareto random variables
Nadarajah, Saralees - In: Applied economics letters 15 (2008) 4/6, pp. 253-259
Persistent link: https://www.econbiz.de/10003727228
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Normal and logistic random variables : distribution of the linear combination
Gupta, Arjun K.; Nadarajah, Saralees - In: Statistical papers 49 (2008) 2, pp. 201-209
Persistent link: https://www.econbiz.de/10003644477
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The specification of GARCH models with stochastic covariates
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of futures markets 28 (2008) 10, pp. 911-934
Persistent link: https://www.econbiz.de/10003769888