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Stochastic logistic model of the global financial leverage
Smirnov, Aleksandr D. - In: The B.E. journal of theoretical economics 18 (2018) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011868998
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Dealing with heterogeneity in panel VARs using sparse finite mixtures
Huber, Florian - 2018
Persistent link: https://www.econbiz.de/10011871455
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Scale-free distribution as an economic invariant : a theoretical approach
Chakrabarti, Anindya S. - In: Journal of economic interaction and coordination : JEIC 12 (2017) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10011878088
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Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
Hu, Xiang; Lianzeng, Zhang; Sun, Weiwei - In: Scandinavian actuarial journal (2018) 5, pp. 412-425
Persistent link: https://www.econbiz.de/10011881460
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On the compound binomial risk model with delayed claims and randomized dividends
Wat, Kam Pui; Yuen, Kam Chuen; Li, Wai Keung; Wu, Xueyuan - In: Risks : open access journal 6 (2018) 1, pp. 1-13
function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial …
Persistent link: https://www.econbiz.de/10011811540
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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SDEs with uniform distributions : peacocks, conic martingales and mean reverting uniform diffusions
Brigo, Damiano; Jeanblanc, Monique; Vrins, Frédéric - 2016 - This version: December 9, 2016
Persistent link: https://www.econbiz.de/10011894452
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What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
Ahmed, Muhammad Farid; Satchell, Stephen - In: Journal of time series econometrics 10 (2018) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10011898000
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Instantaneous portfolio theory
Madan, Dilip B. - In: Quantitative finance 18 (2018) 8, pp. 1345-1364
Persistent link: https://www.econbiz.de/10011911544
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - 2018
Persistent link: https://www.econbiz.de/10011913657