Moment-implied densities : properties and applications
Eric Ghysels; Fangfang Wang
| Year of publication: |
2014
|
|---|---|
| Authors: | Ghysels, Eric ; Wang, Fangfang |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 1, p. 88-111
|
| Subject: | Affine jump-diffusion model | Feasible domain | Generalized skewed t distribution | Normal inverse Gaussian | Risk neutral mesure | Tail behavior | Variance Gamma | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010380476