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  • Search: subject:"Multivariate normal"
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Year of publication
Subject
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Multivariate normal distribution 33 multivariate normal distribution 19 Statistical distribution 17 Statistische Verteilung 17 Theorie 12 Theory 12 Multivariate Analyse 11 Multivariate analysis 11 multivariate normal 10 Multivariate normal 8 Option pricing theory 6 Optionspreistheorie 6 Portfolio selection 6 Portfolio-Management 6 Probability theory 6 Stochastic process 6 Stochastischer Prozess 6 Wahrscheinlichkeitsrechnung 6 Halton sequences 5 multivariate probit 5 GHK simulator 4 Volatility 4 Volatilität 4 maximum simulated likelihood 4 multivariate normal tempered stable distribution 4 multivariate subordinators 4 pseudo-random sequences 4 ARCH model 3 ARCH-Modell 3 Derivat 3 Derivative 3 EM algorithm 3 Lévy processes 3 Monte Carlo simulation 3 Multivariate normal mean 3 Option trading 3 Optionsgeschäft 3 missing data 3 multivariate normal mean 3 portfolio optimization 3
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Online availability
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Undetermined 92 Free 13
Type of publication
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Article 101 Book / Working Paper 14
Type of publication (narrower categories)
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Article in journal 22 Aufsatz in Zeitschrift 22 Working Paper 4 Aufsatz im Buch 2 Book section 2 research-article 2
Language
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Undetermined 80 English 33 Czech 1 Italian 1
Author
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Kim, Young Shin 6 Cappellari, Lorenzo 5 Jenkins, Stephen P. 5 Guillaume, Tristan 4 Kurosaki, Tetsuo 3 Nadarajah, S. 3 Rachev, Svetlozar T. 3 Semeraro, Patrizia 3 Balakrishnan, N. 2 Bentler, Peter 2 Clemen, Robert T. 2 Fabozzi, Frank J. 2 Giacometti, Rosella 2 Hyodo, Masashi 2 Kalkbrener, Michael 2 Kubokawa, Tatsuya 2 Marena, Marina 2 Mignacca, Domenico 2 Packham, Natalie 2 Rezaei, S. 2 Srivastava, Muni S. 2 Zinodiny, S. 2 Zografos, K. 2 Ah-Kine, P. 1 Aminzadeh, M. 1 Andrushchenko, Zhanna 1 Arashi, M. 1 Arjmand, O. Naghshineh 1 Badr, Youakim 1 Banerjee, Soumya 1 Bao, Yong 1 Bazyari, Abouzar 1 Bhattacharya, Bhaskar 1 Blanco, Iván 1 Block, Henry W. 1 Bodnar, Taras 1 Brechmann, Eike C. 1 Bretz, F. 1 Burns, William J. 1 Cai, Xueya 1
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Institution
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Agricultural and Applied Economics Association - AAEA 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 EconWPA 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie 1 HAL 1 Institut d'Économie et de Management de la Santé (IEMS), Faculté des Hautes Études Commerciales (HEC) 1 Institute for the Study of Labor (IZA) 1
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Published in...
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Journal of Multivariate Analysis 17 Annals of the Institute of Statistical Mathematics 15 Statistics & Probability Letters 9 Management Science 5 Metrika 5 Psychometrika 5 Computational Statistics 2 Computational Statistics & Data Analysis 2 IZA Discussion Papers 2 Journal of econometrics 2 Stata Journal 2 2001 Annual meeting, August 5-8, Chicago, IL 1 AStA Advances in Statistical Analysis 1 Applied Mathematical Finance 1 Asia-Pacific Financial Markets 1 Carlo Alberto Notebooks 1 Computational economics 1 DIW Discussion Papers 1 Decision making and risk/return optimization in financial economics 1 Discussion Papers of DIW Berlin 1 Econometrics 1 Econometrics Working Papers Archive 1 Economics & finance notes 1 Energy economics 1 European journal of operational research : EJOR 1 Finance research letters 1 Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 3 1 INFORMS journal on computing : JOC 1 IRTG 1792 Discussion Paper 1 International Journal of Ambient Computing and Intelligence (IJACI) 1 International Journal of Mathematics Research 1 International Journal of Quality & Reliability Management 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 International journal of financial services management : IJFSM 1 International journal of forecasting 1 International journal of theoretical and applied finance 1 Investment management and financial innovations 1 Journal of Applied Statistics 1 KIT Working Paper Series in Economics 1
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Source
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RePEc 84 ECONIS (ZBW) 24 EconStor 4 Other ZBW resources 3
Showing 1 - 10 of 115
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European option, American option, and option bounds : theory, method, and some empirical results
Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015047624
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An analysis of random elections with large numbers of voters
Harrison-Trainor, Matthew - In: Mathematical social sciences 116 (2022), pp. 68-84
Persistent link: https://www.econbiz.de/10013281338
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Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
Kurosaki, Tetsuo; Kim, Young Shin - In: Finance research letters 45 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014576824
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Correlation Under Stress In Normal Variance Mixture Models
Kalkbrener, Michael; Packham, Natalie - 2018
We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in nancial modelling. For the special cases of jointly...
Persistent link: https://www.econbiz.de/10012433184
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An entropy divergence, D-distribution and its selected application in multivariate financial time series
Jayakumar, G. S. David Sam; Sulthan, A.; Samuel, W. - In: International journal of financial services management … 11 (2021) 2, pp. 134-148
Persistent link: https://www.econbiz.de/10012940016
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Recursive calculation model for a special multivariate normal probability of first-order stationary sequence
Xie, Jietao; Wu, Juan - In: INFORMS journal on computing : JOC 32 (2020) 1, pp. 164-171
Persistent link: https://www.econbiz.de/10012183002
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A new multivariate process capability index
Ganji, Zainab Abbasi; Gildeh, Bahram Sadeghpour - In: Total quality management & business excellence 30 (2019) 5, pp. 525-536
Persistent link: https://www.econbiz.de/10012199768
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On the multidimensional Black-Scholes partial differential equation
Guillaume, Tristan - In: Decision making and risk/return optimization in …, (pp. 229-251). 2019
Persistent link: https://www.econbiz.de/10012134802
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Multivariate marked poisson processes and market related multidimensional information flows
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10012013851
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Foster-Hart optimization for currency portfolios
Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10012054888
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