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Normal modified stable processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001
Persistent link: https://www.econbiz.de/10001598165
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On rational bubbles and fat tails
Lux, Thomas; Sornette, Didier - In: Journal of money, credit and banking : JMCB 34 (2002) 3,1, pp. 589-610
Persistent link: https://www.econbiz.de/10001698113
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Distribution of returns generated by stochastic exposure : an application to VaR calculation in the futures markets
Acar, Emmanuel; Pearson, Andrew - In: Performance measurement in finance, (pp. 73-90). 2002
Persistent link: https://www.econbiz.de/10001718574
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Estimation of continuous-time processes via the empirical characteristic function
Jiang, George J.; Knight, John L. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 198-212
Persistent link: https://www.econbiz.de/10001660376
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Monotone comparative statics under uncertainty
Athey, Susan - In: The quarterly journal of economics 117 (2002) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10001643154
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Ergodic behavior of a Markov chain model in a stochastic environment
Tsantas, N. - In: Mathematical methods of operations research 54 (2001) 1, pp. 101-117
Persistent link: https://www.econbiz.de/10001628093
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A non-Gaussian stochatic volatility model
Nagahara, Yuichi; Kitagawa, Genshiro - In: The journal of computational finance 2 (1998/1999) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10001633387
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Stability of pareto-zipf law in non-stationary economies
Solomon, Sorin; Richmond, Peter - In: Economics with heterogeneous interacting agents, (pp. 141-159). 2001
Persistent link: https://www.econbiz.de/10001607005
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Stochastic upper bounds for present value functions
Goovaerts, Marc J.; Dhaene, Jan; De Schepper, Ann - In: The journal of risk and insurance : the journal of the … 67 (2000) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10001534101
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The tail of the stationary distribution of a random coefficient AR(q) model
Klüppelberg, Claudia; Pergamenchtchikov, Serguei - 2002
Persistent link: https://www.econbiz.de/10001744382