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  • Search: subject:"Double Exponential Distribution"
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Year of publication
Subject
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Commodity market 1 Estimation theory 1 Interaction models 1 Option pricing theory 1 Optionspreistheorie 1 Rohstoffmarkt 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 commodity markets 1 double exponential distribution 1 double-exponential distribution 1 jump 1 jump-diffusion model 1 non-Gaussian uctuations 1 propagation effect 1 stochastic volatility 1 strategic complementarity 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Guiso, Luigi 1 Kostrzewski, Maciej 1 Lai, Chaoqun 1 Nirei, Makoto 1
Institution
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Department of Economics, European University Institute 1
Published in...
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Central European journal of economic modelling and econometrics 1 Economics Working Papers / Department of Economics, European University Institute 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
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Detecting Propagation Effects by Observing Aggregate Distributions: The Case of Lumpy Investments
Guiso, Luigi; Lai, Chaoqun; Nirei, Makoto - Department of Economics, European University Institute - 2011
lumpy investment follows a non-normal, double-exponential distribution across region-year. We propose a simple sectoral … model that generates the double-exponential distribution that arises from the complementarity of the firms' lumpy …
Persistent link: https://www.econbiz.de/10009653947
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