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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

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

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

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

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...