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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
All
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 31 - 40 of 296
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On quadratic forms in multivariate generalized hyperbolic random vectors
Broda, S.; Arismendi Zambrano, Juan Carlos - 2020
Persistent link: https://www.econbiz.de/10013168897
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An universal, simple, circular statistics-based estimator of » for symmetric stable family
SenGupta, Ashis; Roy, Moumita - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-28
The aim of this article is to obtain a simple and efficient estimator of the index parameter of symmetric stable distribution that holds universally, i.e., over the entire range of the parameter. We appeal to directional statistics on the classical result on wrapping of a distribution in...
Persistent link: https://www.econbiz.de/10012611212
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An universal, simple, circular statistics-based estimator of α for symmetric stable family
SenGupta, Ashis; Roy, Moumita - In: Journal of risk and financial management : JRFM 12 (2019) 4/171, pp. 1-28
The aim of this article is to obtain a simple and efficient estimator of the index parameter of symmetric stable distribution that holds universally, i.e., over the entire range of the parameter. We appeal to directional statistics on the classical result on wrapping of a distribution in...
Persistent link: https://www.econbiz.de/10012171408
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Estimation of the boundary of a variable observed with a symmetric error
Florens, Jean-Pierre; Simar, Léopold; Van Keilegom, Ingrid - 2019
Persistent link: https://www.econbiz.de/10012181242
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Wrong-way risk in credit valuation adjustment of credit default swap with copulas
Adachi, Tetsuya; Sueshige, Takumi; Yoshiba, Toshinao - 2019
Persistent link: https://www.econbiz.de/10013448467
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Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis
Madan, Dilip B.; Wang, King - In: International journal of financial engineering 9 (2022) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10013367492
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Some analytical results on bivariate stable distributions with an application in operational risk
Tafakori, Laleh; Bee, Marco; Soltani, Ahmad Reza - In: Quantitative finance 22 (2022) 7, pp. 1355-1369
Persistent link: https://www.econbiz.de/10013367907
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Designing a yield-based skip-lot sampling plan for lot acceptance determination
Wu, Chien-wei; Chen, Jr-Tzung; Liu, Shih-Wen - In: Journal of the Operational Research Society 73 (2022) 3, pp. 653-663
Persistent link: https://www.econbiz.de/10013170170
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Specification testing in random coefficient models
Breunig, Christoph; Hoderlein, Stefan - In: Quantitative Economics 9 (2018) 3, pp. 1371-1417
. Our tests are nonparametric in nature, and use sieve estimators of the characteristic function. We provide formal power …
Persistent link: https://www.econbiz.de/10012215361
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Modified Stieltjes transform and generalized convolutions of probability distributions
Klebanov, Lev B.; Roozegar, Rasool - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-6
The classical Stieltjes transform is modified in such a way as to generalize both Stieltjes and Fourier transforms. This transform allows the introduction of new classes of commutative and non-commutative generalized convolutions. A particular case of such a convolution for degenerate...
Persistent link: https://www.econbiz.de/10012610993
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