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  • Search: subject:"Elliptical distributions"
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Year of publication
Subject
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elliptical distributions 17 Elliptical distributions 6 Theorie 6 Theory 5 value-at-risk 5 Elliptical Distributions 4 Portfolio separation 4 conditional value-at-risk 4 endogenous information 4 monotone strategies 4 mutual fund theorem 4 portfolio optimization 4 stochastic dominance 4 strategic information transmission 4 Adaptivity 3 Portfolio selection 3 Portfolio-Management 3 Statistical distribution 3 Statistische Verteilung 3 financial returns 3 multi-dimensional cheap talk 3 ARCH 2 Communication 2 Conditional value-at-risk 2 Disutility 2 Game theory 2 Hausman tests 2 Information dissemination 2 Informationsverbreitung 2 Kommunikation 2 Kyle Model 2 Linear Equilibria 2 Linear loss functions 2 Lévy processes 2 Market Microstructure 2 Nash equilibrium 2 Nash-Gleichgewicht 2 Portfolio optimization 2 Risiko 2 Risikomanagement 2
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Online availability
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Free 31
Type of publication
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Book / Working Paper 29 Article 2
Type of publication (narrower categories)
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Working Paper 10 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Konferenzschrift 1
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Language
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English 20 Undetermined 11
Author
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Kaynar, B. 6 Sentana, Enrique 5 Deimen, Inga 4 Birbil, Birbil, S.I. 3 Birbil, S.I. 3 Fiorentini, Gabriele 3 Framstad, Nils Chr. 3 Frenk, Frenk, J.B.G. 3 Frenk, J.B.G. 3 Dobrev, Dobrislav 2 Nesmith, Travis D. 2 Nöldeke, Georg 2 Oh, Dong Hwan 2 Szalay, Dezsö 2 Szalay, Dezső 2 Tröger, Thomas 2 Amegual, Dante 1 Amengual, Dante 1 Archimbaud, Aurore 1 Becquart, Colombe 1 Christian Framstad, Nils 1 Christodoulakis, George A. 1 Dominicy, Yves 1 Fermanian, Jean-David 1 Florentin, Clément 1 Gospodinov, Nikolay 1 Ilmonen, Pauliina 1 Kan, Raymond 1 N. Nilay, N. Nilay, N. 1 Nordhausen, Klaus 1 Noyan, N. 1 Paindaveine, Davy 1 Pelagatti, Matteo 1 Prilé, Luka 1 Robotti, Cesare 1 Rondena, Stefania 1 Ruiz-Gazen, Anne 1 Satchell, Stephen E 1 Veredas, David 1 Vigna, Matteo Del 1
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Institution
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Centro de Estudios Monetarios y Financieros (CEMFI) 4 Erasmus University Rotterdam, Econometric Institute 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Bank of Greece 1 Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 1 Dipartimento di Statistica, Università degli Studi di Milano-Bicocca 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 Rimini Centre for Economic Analysis (RCEA) 1 University of Bonn, Germany 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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Working Papers / Centro de Estudios Monetarios y Financieros (CEMFI) 4 Bonn Econ Discussion Papers 2 Econometric Institute Report 2 Econometric Institute Research Papers 2 Memorandum 2 Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 1 Discussion papers / Governance and the Efficiency of Economic Systems 1 ECARES working paper 1 ERIM Report Series Research in Management 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Memorandum / Department of Economics, University of Oslo 1 Memorandum / Økonomisk institutt, Universitetet i Oslo 1 Research Paper / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 SFB/TR 15 Discussion Paper 1 Série des documents de travail 1 Working Paper 1 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 1 Working Papers - Mathematical Economics 1 Working Papers / Bank of Greece 1 Working Papers / Dipartimento di Statistica, Università degli Studi di Milano-Bicocca 1 Working Papers ECARES 1 Working papers / TSE : WP 1
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Source
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RePEc 18 ECONIS (ZBW) 7 EconStor 6
Showing 1 - 10 of 31
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Invariant coordinate selection and Fisher discriminant subspace beyond the case of two groups
Becquart, Colombe; Archimbaud, Aurore; Ruiz-Gazen, Anne; … - 2024
Persistent link: https://www.econbiz.de/10015097459
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Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - In: Journal of Risk and Financial Management 10 (2017) 1, pp. 1-14
further correct such errors encountered also in closely related results in Kamdem (2007 and 2009) for mixtures of elliptical … distributions. More generally, our findings point to the extra scrutiny required when deploying new methods for expected shortfall …
Persistent link: https://www.econbiz.de/10011843283
Saved in:
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Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-14
further correct such errors encountered also in closely related results in Kamdem (2007 and 2009) for mixtures of elliptical … distributions. More generally, our findings point to the extra scrutiny required when deploying new methods for expected shortfall …
Persistent link: https://www.econbiz.de/10011619035
Saved in:
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Multi-factor granularity adjustments for market and counterparty risks
Fermanian, Jean-David; Florentin, Clément - 2016
Persistent link: https://www.econbiz.de/10012196291
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A Smooth, strategic communication
Deimen, Inga; Szalay, Dezsö - 2014
We study strategic information transmission in a Sender-Receiver game where players' optimal actions depend on the realization of multiple signals but the players disagree on the relative importance of each piece of news. We characterize a statistical environment - featuring symmetric loss...
Persistent link: https://www.econbiz.de/10010427166
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A Smooth, strategic communication
Deimen, Inga; Szalay, Dezsö - Volkswirtschaftliche Fakultät, … - 2014
We study strategic information transmission in a Sender-Receiver game where players' optimal actions depend on the realization of multiple signals but the players disagree on the relative importance of each piece of news. We characterize a statistical environment - featuring symmetric loss...
Persistent link: https://www.econbiz.de/10010929707
Saved in:
Cover Image
A smooth, strategic communication
Deimen, Inga; Szalay, Dezső - 2014
We study strategic information transmission in a Sender-Receiver game where players' optimal actions depend on the realization of multiple signals but the players disagree on the relative importance of each piece of news. We characterize a statistical environment - featuring symmetric loss...
Persistent link: https://www.econbiz.de/10010408016
Saved in:
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Smooth, strategic communication : conference paper
Deimen, Inga; Szalay, Dezső - 2014
We study strategic communication between a Sender and Receiver who are both uncertain about their preferred actions. The Sender observes noisy signals about both players' ideal policies and then communicates with the Receiver. Even though Sender and Receiver disagree about ideal policies as a...
Persistent link: https://www.econbiz.de/10010482440
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Multivariate hill estimators
Dominicy, Yves; Ilmonen, Pauliina; Veredas, David - 2014
Persistent link: https://www.econbiz.de/10011289450
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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus
Framstad, Nils Chr. - 2013
dominance and the definition of the Itô integral. In addition to (re-) covering the classical cases of elliptical distributions …
Persistent link: https://www.econbiz.de/10010330268
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