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~isPartOf:"Applied economics"
~isPartOf:"Journal of empirical finance"
~subject:"Stochastischer Prozess"
~subject:"Volatilität"
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Search: subject_exact:"Häufigkeitsverteilung"
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Stochastischer Prozess
Volatilität
Statistical distribution
89
Statistische Verteilung
89
Theorie
49
Theory
49
Risikomaß
30
Risk measure
30
Estimation
27
Schätzung
27
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26
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Nichtparametrisches Verfahren
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extreme value theory
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tail dependence
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Xu, Dinghai
2
Belhachemi, Rachid
1
Boroumand, Raphaël Homayoun
1
Boswijk, Herman Peter
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Byun, Suk Joon
1
Caporin, Massimiliano
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Cheng, Wan-hsiu
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Chu, Guoqing
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Hung, Jui-cheng
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1
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Janus, Paweł
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Kang, Kyu Ho
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Kim, Jun Sik
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Koopman, Siem Jan
1
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Leung, Henry
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Liu, Qing
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Applied economics
Journal of empirical finance
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
15
Working paper
15
Finance research letters
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
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 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
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]
7
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
7
Applied mathematical finance
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CREATES research paper
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ECONIS (ZBW)
18
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1
Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo
;
Kang, Kyu Ho
- In:
Journal of empirical finance
72
(
2023
),
pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
Saved in:
2
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:
3
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
4
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
5
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:
6
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:
7
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:
8
"On the (Ab)use of Omega?"
Caporin, Massimiliano
;
Costola, Michele
;
Jannin, Gregory
; …
- In:
Journal of empirical finance
46
(
2018
),
pp. 11-33
Persistent link: https://www.econbiz.de/10012103452
Saved in:
9
Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka
- In:
Journal of empirical finance
49
(
2018
),
pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
Saved in:
10
Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of empirical finance
41
(
2017
),
pp. 53-75
Persistent link: https://www.econbiz.de/10011746959
Saved in:
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