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Improving density forecast by modeling asymmetric features : an application to S&P500 returns

Hua, Zhongsheng; Zhang, Bin - In: European journal of operational research : EJOR 185 (2008) 2, pp. 716-725

Persistent link: https://www.econbiz.de/10003769231

On the qualitative effect of volatility and duration on prices of Asian options

Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171

Persistent link: https://www.econbiz.de/10003769897

The sensitivity of the asymptotic variance of performance measures with respect to skewness and kurtosis

Bertrand, Philippe; Protopopescu, Costin - In: International journal of business 13 (2008) 4, pp. 349-360

Persistent link: https://www.econbiz.de/10003770619

A note on Aoki-Yoshikawa model

Scalas, Enrico (contributor); Garibaldi, Ubaldo (contributor) - 2008

In this paper, we explore a dynamical version of by Aoki and Yoshikawa model (AYM) for an economy driven by demand. We show that when an appropriate Markovian dynamics is taken into account, AYM has different equilibrium distributions depending on the form of transition probabilities. In the...

Persistent link: https://www.econbiz.de/10003783611

The binomial pricing of options on futures contracts

Johnson, Robert S.; Zuber, Richard A.; Gandar, John M. - In: Journal of financial education 34 (2008) 2, pp. 59-87

Persistent link: https://www.econbiz.de/10003783740

A two-warehouse inventory model for items with three-parameter Weidbull distribution deterioration, shortages and linear trend in demand

Banerjee, Snigdha; Agrawal, Swati - In: International transactions in operational research : … 15 (2008) 6, pp. 755-775

Persistent link: https://www.econbiz.de/10003785705

Zipf's law and world income distribution

Furceri, Davide - In: Applied economics letters 15 (2008) 10/12, pp. 921-923

Persistent link: https://www.econbiz.de/10003785858

A k-sample homogeneity test based on the quantification of the p-p plot : the harmonic weighted mass index

Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - 2008

Persistent link: https://www.econbiz.de/10003787143

Firms formation and growth in the model with heterogeneous agents and monitoring

Marko, Peter (contributor); Švarc, Petr (contributor) - 2008

In this article we extend the agent-based model of firms’ formation and growth proposed in [4]. In [4] the firms‘ creation, expansion or contraction results from the interaction of heterogeneous utility maximizers. While the original model was able to replicate the power law distribution in...

Persistent link: https://www.econbiz.de/10003790274

The tails of justice : a critical examination of the dimensionality of organizational justice constructs

Gilliland, Stephen - In: Human resource management review 18 (2008) 4, pp. 271-281

Persistent link: https://www.econbiz.de/10003780334