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  • Search: subject:"Characteristic Function"
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Year of publication
Subject
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Characteristic function 87 characteristic function 80 Optionspreistheorie 39 Option pricing theory 38 Stochastic process 37 Stochastischer Prozess 37 Estimation theory 35 Schätztheorie 35 Empirical characteristic function 30 Theorie 30 Theory 27 Volatility 27 Volatilität 27 Characteristic Function 25 Statistical distribution 20 Statistische Verteilung 20 Estimation 15 stochastic volatility 15 Probability theory 14 Wahrscheinlichkeitsrechnung 14 Schätzung 13 Core 12 empirical characteristic function 12 Kooperatives Spiel 11 Nichtparametrisches Verfahren 11 Nonparametric statistics 11 Option trading 11 Optionsgeschäft 11 Statistical test 11 Statistischer Test 11 Cooperative game 10 Game theory 10 option pricing 10 Heston 9 Lévy process 9 Shapley value 9 Bootstrap 8 Fourier inversion 8 Goodness-of-fit 8 Spieltheorie 8
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Online availability
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Undetermined 152 Free 123 CC license 6
Type of publication
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Article 188 Book / Working Paper 108
Type of publication (narrower categories)
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Article in journal 73 Aufsatz in Zeitschrift 73 Working Paper 42 Graue Literatur 25 Non-commercial literature 25 Arbeitspapier 24 Article 10 Aufsatz im Buch 5 Book section 5 research-article 3 Conference paper 1 Konferenzbeitrag 1
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Language
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English 166 Undetermined 130
Author
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Xu, Dinghai 10 Lord, Roger 9 Hoderlein, Stefan 8 Kahl, Christian 8 Breunig, Christoph 7 Meintanis, Simos 7 Broda, Simon A. 6 Wystup, Uwe 6 Forges, Françoise 5 Gupta, Arjun 5 Manuel, Conrado 5 Orzach, Ram 5 Zhylyevskyy, Oleksandr 5 Appaia, Loganathan 4 Brink, René van den 4 Chander, Parkash 4 Drakatos, Stylianos Th. 4 Ewerhart, Christian 4 Figueiredo, Annibal 4 Fountas, Ioannis E. 4 Griebsch, Susanne 4 Henze, Norbert 4 Hong, Yongmiao 4 Hušková, Marie 4 Kampisioulis, Panagiotis K. 4 Knight, John 4 Krichene, Noureddine 4 Serena, Marco 4 Caldana, Ruggero 3 Carrasco, Marine 3 Florens, Jean-Pierre 3 Fusai, Gianluca 3 González-Aranguena, Enrique 3 He, Xin-Jiang 3 Kan, Raymond 3 Leucht, Anne 3 Meintanis, Simos G. 3 Nguyen, Truc 3 Pagliarani, Stefano 3 Pozo, Mónica del 3
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 International Monetary Fund (IMF) 6 Department of Economics, University of Waterloo 5 Tinbergen Instituut 5 Department of Economics, Iowa State University 3 Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 3 Econometric Society 3 Cowles Foundation for Research in Economics, Yale University 2 Fondazione ENI Enrico Mattei (FEEM) 2 Frankfurt School of Finance and Management 2 Tinbergen Institute 2 University of Bonn, Germany 2 Université Paris-Dauphine (Paris IX) 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centro de Estudios Monetarios y Financieros (CEMFI) 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, University of California-San Diego (UCSD) 1 EconWPA 1 Finance Press 1 HAL 1 Institut for Miljø og Erhvervsøkonomi, Syddansk Universitet 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Internationella Handelshögskolan, Högskolan i Jönköping 1 London School of Economics (LSE) 1 School of Management, Yale University 1 Society for Computational Economics - SCE 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Swiss Finance Institute 1 Université Paris-Dauphine 1
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Published in...
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Annals of the Institute of Statistical Mathematics 11 International journal of theoretical and applied finance 10 Metrika 10 Journal of Multivariate Analysis 9 Journal of econometrics 8 Discussion paper / Tinbergen Institute 7 MPRA Paper 7 Tinbergen Institute Discussion Papers 7 Computational Statistics & Data Analysis 6 IMF Working Papers 6 Physica A: Statistical Mechanics and its Applications 6 Tinbergen Institute Discussion Paper 6 Statistics & Probability Letters 5 Working Paper 5 Working Papers / Department of Economics, University of Waterloo 5 CPQF Working Paper Series 4 Computational economics 4 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 4 Journal of mathematical finance 3 Staff General Research Papers / Department of Economics, Iowa State University 3 Statistical Papers / Springer 3 The journal of computational finance 3 Annals of Economics and Finance 2 Applied Mathematical Finance 2 Computational Statistics 2 Cowles Foundation Discussion Papers 2 DISA Working Papers 2 Discussion Paper Serie B 2 Econometric Reviews 2 Econometric Society 2004 North American Winter Meetings 2 Econometric reviews 2 Economic Quality Control 2 Economics Papers from University Paris Dauphine 2 Economics letters 2 European journal of operational research : EJOR 2 Finance and Stochastics 2 International Game Theory Review (IGTR) 2 International Journal of Quality & Reliability Management 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 International journal of quality & reliability management 2
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Source
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RePEc 160 ECONIS (ZBW) 103 EconStor 28 Other ZBW resources 4 BASE 1
Showing 51 - 60 of 296
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Modification of shapley value and its implementation in decision making
Zaremba, Leszek; Zaremba, Cezary S.; Suchenek, Marek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 257-222
The article presents a solution of a problem that is critical from a practical point of view: how to share a higher than usual discount of $10 million among 5 importers. The discount is a result of forming a coalition by 5 current, formerly competing, importers. The use of Shapley value as a...
Persistent link: https://www.econbiz.de/10011856465
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Testing distributional assumptions using a continuum of moments
Amengual, Dante; Carrasco, Marine; Sentana, Enrique - 2017
Persistent link: https://www.econbiz.de/10011654776
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Specification testing in random coefficient models
Breunig, Christoph; Hoderlein, Stefan - 2016
be omitted altogether. Our tests are nonparametric in nature, and use sieve estimators of the characteristic function. We …
Persistent link: https://www.econbiz.de/10011531875
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Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016
In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes …
Persistent link: https://www.econbiz.de/10011588694
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Cover Image
Specification testing in random coefficient models
Breunig, Christoph; Hoderlein, Stefan - 2016
be omitted altogether. Our tests are nonparametric in nature, and use sieve estimators of the characteristic function. We …
Persistent link: https://www.econbiz.de/10011437705
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Nonparametric specification testing in random parameter models
Breunig, Christoph; Hoderlein, Stefan - 2016
Persistent link: https://www.econbiz.de/10011508496
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Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016 - Version: November 1, 2016
In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes …
Persistent link: https://www.econbiz.de/10011570173
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Intuitionistic fuzzy T-sets based optimization technique for production-distribution planning in supply chain management
Garai, Arindam; Mandal, Palash; Roy, Tapan Kumar - In: Opsearch : journal of the Operational Research Society … 53 (2016) 4, pp. 950-975
Persistent link: https://www.econbiz.de/10011549264
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Stock index options pricing under jump patterns driven by market states
Lin, Chao-Yang; Liu, Huimei; Lee, Jia-Ching; Lin, Shih-kuei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 840-859
Persistent link: https://www.econbiz.de/10012211508
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The extended Shapley value for generalized cooperative games under precedence constraints
Zou, Zhengxing; Zhang, Qiang; Borkotokey, Surajit; Yu, … - In: Operational research : an international journal 20 (2020) 2, pp. 899-925
Persistent link: https://www.econbiz.de/10012214723
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