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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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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
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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