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Stochastic optimal growth with a non-compact space

Zhang, Yuzhe (contributor) - 2005

. Theory 4 (1972)] by utilizing stochastic monotonicity in a dynamic system. The construction of two boundary distributions …

Persistent link: https://www.econbiz.de/10003223687

Asymptotic equivalence of estimating a poisson intensity and a positive diffusion drift

Genon-Catalot, Valentine; Laredo, Catherine; Nussbaum, … - 2000

Persistent link: https://www.econbiz.de/10001528152

On rational bubbles and fat tails

Lux, Thomas; Sornette, Didier - 1999

Persistent link: https://www.econbiz.de/10001454330

Empirical process of the squared residuals of an ARCH sequence

Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles - 1999

Persistent link: https://www.econbiz.de/10001424868

The density of the sufficient statistics for a Gaussian AR (1) model in terms of generalized functions

Forchini, G. - 2000

Persistent link: https://www.econbiz.de/10001488555

Normal modified stable processes

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001

Persistent link: https://www.econbiz.de/10001598165

Das Gaußsche Zinsstrukturmodell : eine Analyse auf der Basis von Wahrscheinlichkeitsverteilungen

Wilhelm, Jochen - 2000

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Stochastic Taylor expansions and saddlepoint approximations for risk management

Studer, Michael (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001674056

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407

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