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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
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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 161 - 170 of 304
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On the empirical characteristic function process of the residuals in GARCH models and applications
Gamero, M. Jiménez - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 2, pp. 409-432
valuable in modeling financial data. This paper is devoted to study the empirical characteristic function process of the … residuals. Specifically, it is shown that such process uniformly converges to the population characteristic function (CF) of the …
Persistent link: https://www.econbiz.de/10010994239
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Bayesian Reliability Sampling Plans under the Conditions of Rayleigh-Inverse-Rayleigh Distribution
Kalaiselvi S.; Loganathan A.; Vijayaraghavan R. - In: Economic Quality Control 29 (2014) 1, pp. 10-10
Reliability sampling plans are used to take decisions on the disposition of lots based on life testing of products. Such plans are developed taking into the consideration of relevant probability distributions of the lifetimes of the products under testing. When the quality of products varies...
Persistent link: https://www.econbiz.de/10010891917
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Approximating a class of goodness-of-fit test statistics
Alba Fernández, M.V.; Jiménez Gamero, M.D.; Castillo … - In: Mathematics and Computers in Simulation (MATCOM) 102 (2014) C, pp. 24-38
difference between the empirical characteristic function associated with a random sample and an estimator of the characteristic … function of the population in the null hypothesis. Because it is not always possible to give an easily computable analytic …
Persistent link: https://www.econbiz.de/10011051056
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Order monotonic solutions for generalized characteristic functions
van den Brink, René; González-Arangüena, Enrique; … - In: European Journal of Operational Research 238 (2014) 3, pp. 786-796
Generalized characteristic functions extend characteristic functions of ‘classical’ TU-games by assigning a real number to every ordered coalition being a permutation of any subset of the player set. Such generalized characteristic functions can be applied when the earnings or costs of...
Persistent link: https://www.econbiz.de/10011052805
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The indirect continuous-GMM estimation
Kotchoni, Rachidi - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 464-488
A  curse of dimensionality  arises when using the Continuum-GMM procedure to estimate large dimensional models. Two solutions are proposed, both of which convert the high dimensional model into a continuum of reduced information sets. Under certain regularity conditions, each reduced...
Persistent link: https://www.econbiz.de/10011056478
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Ornstein–Uhlenbeck processes for geophysical data analysis
Habtemicael, Semere; SenGupta, Indranil - In: Physica A: Statistical Mechanics and its Applications 399 (2014) C, pp. 147-156
In this work a three parameter stochastic process, termed the Gamma-Ornstein–Uhlenbeck process, has been implemented to analyze geophysical data. Such non-Gaussian Ornstein–Uhlenbeck processes offer the possibility of capturing important distributional deviations from Gaussianity and make...
Persistent link: https://www.econbiz.de/10011064662
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A general correlation inequality and the Almost Sure Local Limit Theorem for random sequences in the domain of attraction of a stable law
Giuliano, Rita; Szewczak, Zbigniew S. - In: Stochastic Processes and their Applications 124 (2014) 4, pp. 1612-1626
In the present paper we obtain a new correlation inequality and use it for the purpose of extending the theory of the Almost Sure Local Limit Theorem to the case of lattice random sequences in the domain of attraction of a stable law. In particular, we prove ASLLT in the case of the normal...
Persistent link: https://www.econbiz.de/10011065045
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Testing for serial independence of panel errors
Du, Zaichao - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 248-261
between the joint empirical characteristic function of residuals at different lags and the product of their marginal empirical …
Persistent link: https://www.econbiz.de/10010871337
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Selection of single sampling plans by attributes under the conditions of zero-inflated Poisson distribution
Appaia, Loganathan; Kandaswamy, Shalini - In: International Journal of Quality & Reliability Management 31 (2014) 9, pp. 1002-1011
operating characteristic function of the sampling plan is derived. Findings – Parameters of the sampling plans are obtained for …
Persistent link: https://www.econbiz.de/10014801838
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Determination of Bayesian reliability sampling plans based on exponential-inverted gamma distribution
Appaia, Loganathan; Muthu Krishnan, Padmanaban; … - In: International Journal of Quality & Reliability Management 31 (2014) 8, pp. 950-962
Purpose – The purpose of this paper is the determination of reliability sampling plans in the Bayesian approach assuming that the lifetime distribution is exponential. Design/methodology/approach – Sampling plans are used in manufacturing companies as a tool for carrying out sampling...
Persistent link: https://www.econbiz.de/10014802016
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