Narrow search
Showing 1 - 10 of 3,658
Cover Image
Quantification of the high level of endogeneity and of structural regime shifts in commodity markets
Filimonov, Vladimir; Bicchetti, David; Maystre, Nicolas; … - In: Journal of international money and finance 42 (2014), pp. 174-192
Persistent link: https://www.econbiz.de/10010372668
Cover Image
Branching particle pricers with heston examples
Kouritzin, Michael A.; MacKay, Anne - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Cover Image
Innovation diffusion, general purpose technologies and economic growth
Andergassen, Rainer; Nardini, Franco; Ricottilli, Massimo - In: Structural change and economic dynamics : SC+ED 40 (2017), pp. 72-80
Persistent link: https://www.econbiz.de/10011779992
Cover Image
A branching process approach to power markets
Jiao, Ying; Ma, Chunhua; Scotti, Simone; Sgarra, Carlo - In: Energy economics 79 (2019), pp. 144-156
Persistent link: https://www.econbiz.de/10012172268
Cover Image
Specification tests for nonlinear dynamic models
Kheifets, Igor L. - In: The econometrics journal 18 (2015) 1, pp. 67-94
Persistent link: https://www.econbiz.de/10011345998
Cover Image
On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property
Chatterjee, Arindam; Gupta, S.; Lahiri, S. N. - In: Journal of econometrics 186 (2015) 2, pp. 317-324
Persistent link: https://www.econbiz.de/10011349472
Cover Image
Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
Cover Image
Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
Cover Image
Improving convergence of binomial schemes and the Edgeworth expansion
Bock, Alona; Korn, Ralf - In: Risks : open access journal 4 (2016) 2, pp. 1-22
Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging...
Persistent link: https://www.econbiz.de/10011507486
Cover Image
Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799