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  • Search: subject:"Regularly varying"
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Year of publication
Subject
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Subexponential 3 Cross Entropy method 2 Estimation theory 2 Light-Tailed 2 Markov Chain Monte Carlo 2 Probability theory 2 Rare-Event Probability 2 Regularly-Varying 2 Schätztheorie 2 Wahrscheinlichkeitsrechnung 2 asymptotic variability 2 conditional value-at-risk 2 extreme value theory 2 fat-tailed distributions 2 marginal rebalancing 2 regularly varying tails 2 (Tail) Dependence 1 Asymptotic Theorems 1 Ausreißer 1 Bubbles 1 Causality analysis 1 Concomitants 1 Copula 1 Cross entropy method 1 Entropie 1 Entropy 1 Extremes 1 Gaussian 1 Karamata’s representation theorem 1 Karamata’s tauberian theorem 1 Karamata’s theorem 1 Kausalanalyse 1 Light-tailed 1 Logistic 1 Market mechanism 1 Markov chain 1 Markov chain Monte carlo 1 Markov-Kette 1 Marktmechanismus 1 Matching 1
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Online availability
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Free 9
Type of publication
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Book / Working Paper 7 Article 2
Type of publication (narrower categories)
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Working Paper 4 Arbeitspapier 2 Article in journal 2 Aufsatz in Zeitschrift 2 Graue Literatur 1 Non-commercial literature 1
Language
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English 7 Undetermined 2
Author
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Ridder, Ad 3 Rojas-Nandayapa, Leonardo 3 Botev, Zdravko 2 Fabozzi, Frank J. 2 Kratz, Marie 2 Rachev, Svetlozar T. 2 Stoyanov, Stoyan V. 2 Blanchet, Jose H. 1 Botev, Zdravko I. 1 Cadena, Meitner 1 Hecq, Alain W. J. 1 Khorrami Chokami, Amir 1 Reiman, Martin I. 1 Shah, Virag 1 Sun, Li 1 Wein, Lawrence M. 1 Wu, Linjia 1
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Institution
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ESSEC Business School 1 Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie 1 Tinbergen Instituut 1
Published in...
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Discussion paper / Tinbergen Institute 1 Documents de recherche / ESSEC Centre de Recherche 1 ESSEC Working Papers 1 KIT Working Paper Series in Economics 1 Operations research 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working Paper Series in Economics 1
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Source
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ECONIS (ZBW) 4 RePEc 3 EconStor 2
Showing 1 - 9 of 9
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On the relation between extremal dependence and concomitants
Khorrami Chokami, Amir; Kratz, Marie - 2023
Persistent link: https://www.econbiz.de/10014327421
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Asymptotically optimal control of a centralized dynamic matching market with general utilities
Blanchet, Jose H.; Reiman, Martin I.; Shah, Virag; … - In: Operations research 70 (2022) 6, pp. 3355-3370
Persistent link: https://www.econbiz.de/10014307826
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Selecting between causal and noncausal models with quantile autoregressions
Hecq, Alain W. J.; Sun, Li - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 393-416
Persistent link: https://www.econbiz.de/10012806552
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An Extension of the Class of Regularly Varying Functions
Cadena, Meitner; Kratz, Marie - ESSEC Business School - 2014
includes the class of regularly varying functions. We also characterize it by transformations, corresponding to generalized …
Persistent link: https://www.econbiz.de/10011107025
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Semiparametric Cross Entropy for Rare-Event Simulation
Botev, Zdravko; Ridder, Ad; Rojas-Nandayapa, Leonardo - 2013
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an optimal importance sampling density within a wider...
Persistent link: https://www.econbiz.de/10010326419
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Semiparametric Cross Entropy for Rare-Event Simulation
Botev, Zdravko; Ridder, Ad; Rojas-Nandayapa, Leonardo - Tinbergen Instituut - 2013
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an optimal importance sampling density within a wider...
Persistent link: https://www.econbiz.de/10011256828
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Semiparametric cross entropy for rare-event simulation
Botev, Zdravko I.; Ridder, Ad; Rojas-Nandayapa, Leonardo - 2013
Persistent link: https://www.econbiz.de/10010191281
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CVaR sensitivity with respect to tail thickness
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - 2011
We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly … varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR …
Persistent link: https://www.econbiz.de/10010304716
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CVaR sensitivity with respect to tail thickness
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011
We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly … varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR …
Persistent link: https://www.econbiz.de/10009024646
Saved in:
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