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~isPartOf:"Applied economics"
~isPartOf:"Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]"
~subject:"Stochastischer Prozess"
~subject:"Volatilität"
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Statistical distribution
64
Statistische Verteilung
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19
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Mantegna, Rosario N.
2
Xu, Dinghai
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Belhachemi, Rachid
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Bonanno, Giovanni
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Applied economics
Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]
Journal of econometrics
48
International journal of theoretical and applied finance
26
Discussion paper / Tinbergen Institute
18
Quantitative finance
17
Risks : open access journal
17
Computational economics
16
Insurance / Mathematics & economics
16
Economic modelling
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Working paper
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Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International journal of forecasting
13
International review of financial analysis
13
Journal of banking & finance
13
European journal of operational research : EJOR
12
Journal of empirical finance
12
Journal of risk and financial management : JRFM
11
Journal of mathematical finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
Economics letters
9
Energy economics
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
The journal of derivatives : the official publication of the International Association of Financial Engineers
9
International journal of financial engineering
8
International review of economics & finance : IREF
8
Journal of economic dynamics & control
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of forecasting
8
Operations research letters
8
Research paper series / Swiss Finance Institute
8
The European journal of finance
8
Journal of financial economics
7
Journal of international financial markets, institutions & money
7
Scandinavian actuarial journal
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Swiss Finance Institute Research Paper
7
The journal of futures markets
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Applied mathematical finance
6
CREATES research paper
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ECONIS (ZBW)
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1
Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets
Liu, Qing
;
Wang, Shouyang
;
Sui, Cong
- In:
Applied economics
55
(
2023
)
49
,
pp. 5816-5832
Persistent link: https://www.econbiz.de/10014335824
Saved in:
2
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
3
Modelling asset returns under price limits with mixture of truncated Gaussian distribution
Xu, Dinghai
- In:
Applied economics
52
(
2020
)
52
,
pp. 5706-5725
Persistent link: https://www.econbiz.de/10012307930
Saved in:
4
The use of option prices to assess the skewness risk premium
Elyasiani, Elyas
;
Gambarelli, Luca
;
Muzzioli, Silvia
- In:
Applied economics
52
(
2020
)
55
,
pp. 6057-6074
Persistent link: https://www.econbiz.de/10012308429
Saved in:
5
Jumps and volatility dynamics in agricultural commodity spot prices
Boroumand, Raphaël Homayoun
;
Goutte, Stéphane
; …
- In:
Applied economics
49
(
2017
)
40
,
pp. 4035-4054
Persistent link: https://www.econbiz.de/10011820009
Saved in:
6
Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution
Belhachemi, Rachid
;
Rostan, Pierre
;
Racicot, François-Éric
- In:
Applied economics
47
(
2015
)
49/51
,
pp. 5461-5475
Persistent link: https://www.econbiz.de/10011341770
Saved in:
7
Price fluctuations and market activity
Gopikrishnan, P.
;
Plerou, V.
;
Gabaix, X.
;
Amaral, L. A. N.
- In:
Empirical science of financial fluctuations : the …
,
(pp. [12]-17)
.
2002
Persistent link: https://www.econbiz.de/10001679213
Saved in:
8
Variety of stock returns in normal and extreme market days : the August 1998 crisis
Lillo, Fabrizio
;
Bonanno, Giovanni
;
Mantegna, Rosario N.
- In:
Empirical science of financial fluctuations : the …
,
(pp. [77]-89)
.
2002
Persistent link: https://www.econbiz.de/10001679237
Saved in:
9
High frequency data analysis in an emerging and a developed market
Palágyi, Zoltán
;
Kőrösi, Gábor
;
Mantegna, Rosario N.
- In:
Empirical science of financial fluctuations : the …
,
(pp. [102]-109)
.
2002
Persistent link: https://www.econbiz.de/10001679243
Saved in:
10
Statistical property of price fluctuations in a multi-agent model and the currency exchange market
Tanaka-Yamawaki, Mieko
- In:
Empirical science of financial fluctuations : the …
,
(pp. [135]-142)
.
2002
Persistent link: https://www.econbiz.de/10001679477
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