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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018
Persistent link: https://www.econbiz.de/10011891048
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The maximum distribution of Kibble’s bivariate gamma random vector
Kim, Bara; Kim, Jeongsim - In: Operations research letters 45 (2017) 4, pp. 392-396
Persistent link: https://www.econbiz.de/10011740634
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Stochastic comparisons on two finite mixture models
Amini-Seresht, Ebrahim; Zhang, Yiying - In: Operations research letters 45 (2017) 5, pp. 475-480
Persistent link: https://www.econbiz.de/10011774693
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Stochastic modeling of photovoltaic power generation and electricity prices
Benth, Fred Espen; Noor 'Adilah Ibrahim - In: The journal of energy markets 10 (2017) 3, pp. 1-33
Persistent link: https://www.econbiz.de/10011999448
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Multivariate modelling of household claim frequencies in motor third-party liability insurance
Pechon, Florian; Trufin, Julien; Denuit, Michel - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 969-993
Persistent link: https://www.econbiz.de/10011999834
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Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index
Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88
Persistent link: https://www.econbiz.de/10012030843
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A concise proof of Gaussian smoothing
Singer, Hermann - 2018
Persistent link: https://www.econbiz.de/10011957389
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Multivariate marked poisson processes and market related multidimensional information flows
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10012013851
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Estimation of geometric Brownian motion model with a t-distribution-based particle filter
Nkemnole, Bridget; Abass, Olaide - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10012018946
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Ordered random variables
Nadarajah, Saralees; Afuecheta, Emmanuel; Chan, Stephen - In: Opsearch : journal of the Operational Research Society … 56 (2019) 1, pp. 344-366
Persistent link: https://www.econbiz.de/10012008493