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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 231 - 240 of 304
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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 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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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
Saved in:
Cover Image
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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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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Continuous empirical characteristics function estimation of mixtures of normal parameters
Xu, Dinghai; Knight, John L. - In: Econometric reviews 30 (2011) 1, pp. 25-50
Persistent link: https://www.econbiz.de/10008990461
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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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A Comparative Study of Ten Asymmetry Tests
Holgersson, Thomas - Internationella Handelshögskolan, Högskolan i Jönköping - 2011
In this paper we investigate the properties of some common test for asymmetry. The tests are based on moments, order statistics and empirical characteristic functions (ecf) respectively. These tests have completely different origins, relies on different characterizations of symmetry and does...
Persistent link: https://www.econbiz.de/10009295328
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Estimating the codifference function of linear time series models with infinite variance
Rosadi, Dedi; Deistler, Manfred - In: Metrika 73 (2011) 3, pp. 395-429
Persistent link: https://www.econbiz.de/10008925327
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Tests of symmetry with one-sided alternatives in three-way contingency tables
Ye, Ping; Bhattacharya, Bhaskar - In: Statistical Papers 52 (2011) 1, pp. 33-51
Persistent link: https://www.econbiz.de/10008925493
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