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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
All
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 221 - 230 of 296
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The γ-Core and Coalition Formation
Chander, Parkash - 2003
the ? - characteristic function, and that the grand coalition is the only stable coalition structure. …
Persistent link: https://www.econbiz.de/10011325128
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The ?-Core and Coalition Formation
Chander, Parkash - Fondazione ENI Enrico Mattei (FEEM) - 2003
the ? - characteristic function, and that the grand coalition is the only stable coalition structure. …
Persistent link: https://www.econbiz.de/10005423240
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The Edgeworth, Cournot and Walrasian Cores of an Economy
Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2003
Three variations of the core of a market game representing an exchange economy are considered and compared. The possibility for utilizing the Walrasian core to reflect certain monetary phenomena is noted.
Persistent link: https://www.econbiz.de/10005464037
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Inference in components of variance models with low replication
Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2003
In components of variance models the data are viewed as arising through a sum of two random variables, representing between- and within-group variation, respectively. The former is generally interpreted as a group effect, and the latter as error. It is assumed that these variables are...
Persistent link: https://www.econbiz.de/10011126325
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The [gamma]-core and coalition formation
CHANDER, Parkash - Center for Operations Research and Econometrics (CORE), … - 2003
the [gamma]-characteristic function, and that the grand coalition is the only stable coalition structure. …
Persistent link: https://www.econbiz.de/10005043417
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Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
Ghysels, Eric; Florens, Jean-Pierre; Chernov, Mikhail; … - Centre Interuniversitaire de Recherche en Analyse des … - 2003
proposed. The moment conditions are computed via the characteristic function. The two major difficulties with the … proposed to deal with the cases where the characteristic function does not have a closed-form expression. Extensive Monte …
Persistent link: https://www.econbiz.de/10005101005
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A Consistent Characteristic-Function-Based Test for Conditional Independence
Su, Liangjun; White, Halbert - Department of Economics, University of California-San … - 2003
This paper proposes a nonparametric test of conditional independence based on the notion that two conditional distributions are equal if and only if the corresponding conditional characteristic functions are equal. We use the functional delta method to expand the test statistic around the...
Persistent link: https://www.econbiz.de/10010536485
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The γ-core and coalition formation
Chander, Parkash - 2003
the γ-characteristic function, and that the grand coalition is the only stable coalition structure. …
Persistent link: https://www.econbiz.de/10011592935
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CRS4-2: A numerical code for the calculation of the solar power collected in a central receiver system
Leonardi, Erminia; D’Aguanno, Bruno - In: Energy 36 (2011) 8, pp. 4828-4837
The analysis of the solar power collected at the receiver in solar tower systems requires the use of efficient and accurate numerical codes. This paper presents a new Fortran computer program, CRS4-2 (an acronym for Crs4 Research Software for Central Receiver Solar System SimulationS), for the...
Persistent link: https://www.econbiz.de/10010809553
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Core-stable rings in second price auctions with common values
Forges, Françoise; Orzach, Ram - In: Journal of Mathematical Economics 47 (2011) 6, pp. 760-767
information. Journal of Mathematical Economics 37, 247–258], describe a cooperative games in characteristic function form, in … spite of the underlying strategic externalities. A ring is core-stable if the core of this characteristic function is not …
Persistent link: https://www.econbiz.de/10011065425
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