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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
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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 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 11 - 20 of 296
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Property analysis of multivariate conditional linear random processes in the problems of mathematical modelling of signals
Fryz, Mykhailo; Mlynko, Bogdana - In: Technology audit and production reserves 3 (2022) 2/65, pp. 29-32
Persistent link: https://www.econbiz.de/10013326596
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An entropy-based approach for nonparametrically testing simple probability distribution hypotheses
Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19
methodology relies on the characteristic function of the population probability distribution being tested and is attractive in …
Persistent link: https://www.econbiz.de/10012805047
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Estimating option pricing models using a characteristic function-based linear state space representation
Boswijk, Herman Peter; Laeven, Roger J. A.; Vladimirov, … - 2022
conditional log-characteristic function and the model-implied conditional log-characteristic function, which is functionally …
Persistent link: https://www.econbiz.de/10013413523
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A closed-form pricing formula for European options in an illiquid asset market
Pasricha, Puneet; Zhu, Song-Ping; He, Xin-Jiang - In: Financial innovation : FIN 8 (2022), pp. 1-18
underlying asset can be captured by the option pricing model. The characteristic function is analytically worked out using the …
Persistent link: https://www.econbiz.de/10013170252
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Indirect inference of stochastic frontier models
Lai, Hung-pin - In: Essays in honor of Subal Kumbhakar, (pp. 414-438). 2024
Persistent link: https://www.econbiz.de/10014560622
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Volatility of volatility and leverage effect from options
Chong, Carsten H.; Todorov, Viktor - In: Journal of econometrics 240 (2024) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10015074616
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
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Long range dependence for stable random processes
Makogin, Vitalii; Oesting, Marco; Rapp, Albert; … - In: Journal of Time Series Analysis 42 (2021) 2, pp. 161-185
We investigate long and short memory in α-stable moving averages and max-stable processes with α-Fréchet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence based on the covariance of indicators of excursion sets. Sufficient conditions...
Persistent link: https://www.econbiz.de/10012428900
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Indirect inference for time series using the empirical characteristic function and control variates
Davis, Richard A.; do Rêgo Sousa, Thiago; … - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 653-684
between the empirical and simulated characteristic function, when the true characteristic functions cannot be explicitly … computed. Motivated by Indirect Inference, we use a Monte Carlo approximation of the characteristic function based on i …
Persistent link: https://www.econbiz.de/10012621813
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Bias reduction in spot volatility estimation from options
Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
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