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Basic stochastic dynamic systems of growth and trade
Jensen, Bjarne S.; Wang, Chunyan - In: Economic growth and international trade, (pp. 20-44). 1999
Persistent link: https://www.econbiz.de/10002011360
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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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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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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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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
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...
Persistent link: https://www.econbiz.de/10001656178
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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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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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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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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