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  • Search: subject:"Generalised inverse"
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Year of publication
Subject
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Probability theory 2 Statistical distribution 2 Statistische Verteilung 2 Wahrscheinlichkeitsrechnung 2 Akaike information criterion 1 Asset Pricing 1 Asset pricing 1 Conditional tail risk measures 1 Continuously Updated GMM 1 Continuously updated GMM 1 Estimation theory 1 Generalised Empirical Likelihood 1 Generalised Hyper-Elliptical (GHE) distributions 1 Generalised Inverse 1 Generalised Inverse Gaussian distribution 1 Generalised empirical likelihood 1 Generalised inverse 1 Kolmogorov-Smirnov statistics 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Measurement 1 Messung 1 Portfolio allocation 1 Portfolio selection 1 Portfolio-Management 1 Representing Portfolios 1 Representing portfolios 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Schätztheorie 1 Singular Covariance Matrix 1 Singular covariance matrix 1 Stochastic process 1 Stochastischer Prozess 1 Tail conditional expectation 1 Theorie 1 Theory 1 degradation model 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 3 Undetermined 1
Author
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Peñaranda, Francisco 2 Sentana, Enrique 2 Ignatieva, Ekaterina 1 Landsman, Zinoviy 1 Nagatsuka, Hideki 1 Tamaru, Leona 1
Institution
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Department of Economics and Business, Universitat Pompeu Fabra 1
Published in...
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Asian journal of management science and applications : AJMSA 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Insurance / Mathematics & economics 1 Journal of Econometrics 1
Source
All
ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
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On a stochastic degradation model based on the generalised inverse Gaussian distribution
Tamaru, Leona; Nagatsuka, Hideki - In: Asian journal of management science and applications : AJMSA 4 (2019) 1, pp. 49-58
Persistent link: https://www.econbiz.de/10012154205
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Cover Image
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
Peñaranda, Francisco; Sentana, Enrique - Department of Economics and Business, Universitat … - 2008
We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures,...
Persistent link: https://www.econbiz.de/10005827516
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Cover Image
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
Peñaranda, Francisco; Sentana, Enrique - In: Journal of Econometrics 170 (2012) 2, pp. 303-324
We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures,...
Persistent link: https://www.econbiz.de/10011052286
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