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  • Search: subject:"Characteristic function"
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Year of publication
Subject
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Characteristic function 89 characteristic function 82 Optionspreistheorie 43 Option pricing theory 42 Stochastic process 40 Stochastischer Prozess 40 Estimation theory 35 Schätztheorie 35 Theorie 31 Empirical characteristic function 30 Volatility 30 Volatilität 30 Theory 28 Characteristic Function 25 Statistical distribution 20 Statistische Verteilung 20 Estimation 16 stochastic volatility 15 Probability theory 14 Wahrscheinlichkeitsrechnung 14 Core 13 Option trading 13 Optionsgeschäft 13 Schätzung 13 Kooperatives Spiel 12 empirical characteristic function 12 Cooperative game 11 Game theory 11 Nichtparametrisches Verfahren 11 Nonparametric statistics 11 Statistical test 11 Statistischer Test 11 Shapley value 10 option pricing 10 Heston 9 Lévy process 9 Spieltheorie 9 Bootstrap 8 Fourier inversion 8 Goodness-of-fit 8
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Online availability
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Undetermined 155 Free 125 CC license 8
Type of publication
All
Article 194 Book / Working Paper 110
Type of publication (narrower categories)
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Article in journal 80 Aufsatz in Zeitschrift 80 Working Paper 42 Graue Literatur 26 Non-commercial literature 26 Arbeitspapier 24 Article 10 Aufsatz im Buch 5 Book section 5 research-article 2 Conference paper 1 Konferenzbeitrag 1 Research Report 1
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Language
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English 172 Undetermined 130 German 2
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 Fusai, Gianluca 4 Griebsch, Susanne 4 He, Xin-Jiang 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 González-Aranguena, Enrique 3 Kan, Raymond 3 Laeven, Roger J. A. 3 Leucht, Anne 3 Meintanis, Simos G. 3 Nguyen, Truc 3 Pagliarani, Stefano 3
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Institution
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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 9 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 Quantitative 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 Forschung am ivwKöln 2 International Game Theory Review (IGTR) 2 International Journal of Quality & Reliability Management 2
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Source
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RePEc 160 ECONIS (ZBW) 111 EconStor 29 Other ZBW resources 3 BASE 1
Showing 101 - 110 of 304
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Quanto pricing in stochastic correlation models
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10011903766
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Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
Jang, Jiwook; Park, Jong Jun; Jang, Hyun Jin - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10011956976
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Reliability Test Plan for the Gumbel-Uniform Distribution
Jose, K. K.; Joseph, Jeena - In: Stochastics and Quality Control 33 (2018) 1, pp. 71-81
Abstract Reliability sampling plans are used for determining the acceptability of any product. In this paper, reliability sampling plans for acceptance or rejection of a lot of products submitted for inspection are developed when the lifetimes follow the Gumbel-uniform distribution. The sampling...
Persistent link: https://www.econbiz.de/10014591013
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Parliamentary coalitions, an n-person game approach to politics
Fountas, Ioannis E.; Kampisioulis, Panagiotis K.; … - In: Spoudai : journal of economics and business 62 (2012) 3/4, pp. 16-29
coalitions. Same basic data about the coalition form and the characteristic function is necessary in order to connect n …
Persistent link: https://www.econbiz.de/10010255257
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Parliamentary coalitions, an n-person game approach to politics
Fountas, Ioannis E.; Kampisioulis, Panagiotis K.; … - In: SPOUDAI - Journal of Economics and Business 62 (2012) 3/4, pp. 16-29
coalitions. Same basic data about the coalition form and the characteristic function is necessary in order to connect n …
Persistent link: https://www.econbiz.de/10010343122
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Continuous empirical characteristic function estimation of GARCH models
Xu, Dinghai - 2012
Persistent link: https://www.econbiz.de/10009612399
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Parliamentary Coalitions, An n-person Game Approach to Politics
Fountas, Ioannis E.; Kampisioulis, Panagiotis K.; … - In: SPOUDAI Journal of Economics and Business 62 (2012) 3-4, pp. 16-29
coalitions. Same basic data about the coalition form and the characteristic function is necessary in order to connect n …
Persistent link: https://www.econbiz.de/10010854584
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Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Tsionas, Mike - Volkswirtschaftliche Fakultät, … - 2012
-scale mixtures and (ii) versions of approximate Bayesian computation (ABC) using the characteristic function and the asymptotic form …
Persistent link: https://www.econbiz.de/10011258174
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Efficient Pricing of European-Style Options Under Heston's Stochastic Volatility Model
Zhylyevskyy, Oleksandr - Department of Economics, Iowa State University - 2012
the characteristic function of the underlying stock's log-price and by exploiting the characteristic function's symmetry …. The value of a European-style call is computed using a parity relationship. The required characteristic function is …
Persistent link: https://www.econbiz.de/10009421255
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Independence Test for High Dimensional Random Vectors
Pan, G.; Gao, J.; Yang, Y.; Guo, M. - Department of Econometrics and Business Statistics, … - 2012
statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The …
Persistent link: https://www.econbiz.de/10009650288
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