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Marginal conditional stochastic dominance test for efficiency of capitalization-weighted market portfolio
Chow, K. Victor; Hu, Ou - In: International economics & finance journal : (IEFJ) 2 (2007) 1/2, pp. 127-143
Persistent link: https://www.econbiz.de/10003791283
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Modeling the frequency of auto insurance claims by means of poisson and negative binomial models
David, Mihaela; Jemna, Dănuţ-Vasile - In: Analele ştiinţifice ale Univerşităţii Alexandru … 62 (2015) 2, pp. 151-168
Persistent link: https://www.econbiz.de/10011303576
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Power laws in financial markets : scaling exponent h and alpha-stable distributions
Günay, Samet - In: The journal of applied business research 31 (2015) 1, pp. 305-315
Persistent link: https://www.econbiz.de/10010503416
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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
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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
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Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
Gallant, A. Ronald; Hsu, Chiente; Tauchen, George Eugene - In: The review of economics and statistics 81 (1999) 4, pp. 617-631
Persistent link: https://www.econbiz.de/10001437376
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Physics of personal income
Sōma, Wataru - In: Empirical science of financial fluctuations : the …, (pp. 343-352). 2002
Persistent link: https://www.econbiz.de/10001679493
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The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 937-969
Persistent link: https://www.econbiz.de/10001734458
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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Physics-inspired analysis of the two-class income distribution in the USA in 1983-2018
Yakovenko, Victor M.; Ludwig, Danial - 2023
Persistent link: https://www.econbiz.de/10014317167