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  • Search: subject:"alpha-stable"
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Year of publication
Subject
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alpha-stable distribution 10 Statistische Verteilung 9 Statistical distribution 8 Theorie 8 Theory 7 Alpha-stable distribution 5 Portfolio selection 5 Portfolio-Management 5 Volatility 5 Volatilität 5 Capital income 4 Estimation 4 Kapitaleinkommen 4 Risikomaß 4 Risk measure 4 Time series analysis 4 Zeitreihenanalyse 4 alpha-stable distributions 4 ARCH model 3 ARCH-Modell 3 Alpha-stable distributions 3 Monte Carlo simulation 3 Risiko 3 Risk 3 Schätztheorie 3 Schätzung 3 Stochastic process 3 Stochastischer Prozess 3 Virtual currency 3 Virtuelle Währung 3 APARCH 2 Alpha stable distribution 2 Alpha-stable 2 Backtesting 2 Cryptocurrencies 2 Electricity prices 2 Estimation theory 2 Fama-MacBeth regression 2 Financial market 2 Finanzmarkt 2
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Online availability
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Free 24 Undetermined 10
Type of publication
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Book / Working Paper 26 Article 15
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Article 2 Thesis 2 Working Paper 2 Arbeitspapier 1 Aufsatz im Buch 1 Book section 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 22 Undetermined 15 Italian 3 Lithuanian 1
Author
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Günay, Samet 3 Lombardi, Marco J. 3 Frain, John C. 2 Francq, Christian 2 Garcin, Matthieu 2 Guegan, Dominique 2 Gunay, Samet 2 Khaki, Audil Rashid 2 Kurz-Kim, Jeong-Ryeol 2 Loretan, Michael Stanislaus 2 Tzagkarakis, George 2 Venegas-Martínez, Francisco 2 Weron, Rafal 2 Wylomanska, Agnieszka 2 Zakoïan, Jean-Michel 2 Achim, Alin 1 Brown, Hayden 1 Calzolari, Giorgio 1 Cartea, Alvaro 1 Climent-Hernández, José Antonio 1 Cruz-Aké, Salvador 1 Dionysopoulos, Thomas 1 Díaz Pérez, Antonio 1 Gajda, Janusz 1 García-Donato, Gonzalo 1 Godsill, Simon J. 1 Gouriéroux, Christian 1 Howison, Sam 1 Janczura, Joanna 1 Kabašinskas, Audrius 1 Kuruoglu, Ercan 1 Magdziarz, Marcin 1 Maggioni, Francesca 1 Makogin, Vitalii 1 Malek, Jiri 1 Maurer, Frantz 1 Mora-Valencia, Andrés 1 Müller, Gernot 1 Nguyen, Duc Khuong 1 Norvaiša, Rimas 1
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Institution
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 3 EconWPA 3 Department of Economics, Trinity College Dublin 2 Birkbeck, Department of Economics, Mathematics & Statistics 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Deutsche Bundesbank 1 HAL 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 Vilnius University 1
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Published in...
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HSC Research Reports 4 MPRA Paper 4 Econometrics Working Papers Archive 3 Finance 2 Trinity Economics Papers 2 Annals of operations research ; volume 279, numbers 1/2 (August 2019) 1 Birkbeck Working Papers in Economics and Finance 1 Computational economics 1 Discussion Paper Series 1 1 Discussion Paper Series 1: Economic Studies 1 Documents de travail du Centre d'Economie de la Sorbonne 1 Econometrics 1 Energy economics 1 Eurasian economic review : a journal in applied macroeconomics and finance 1 Finance research letters 1 International Journal of Biostatistics 1 International journal of theoretical and applied finance : IJTAF 1 Journal of Risk and Financial Management 1 Journal of Time Series Analysis 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of risk and financial management : JRFM 1 LEM Papers Series 1 Margin: the journal of applied economic research 1 Post-Print / HAL 1 Risk management : a journal of risk, crisis and disaster 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 The journal of applied business research 1 Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Working papers 1
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Source
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RePEc 23 ECONIS (ZBW) 13 EconStor 3 BASE 2
Showing 1 - 10 of 41
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Long range dependence for stable random processes
Makogin, Vitalii; Oesting, Marco; Rapp, Albert; … - In: Journal of Time Series Analysis 42 (2021) 2, pp. 161-185
We investigate long and short memory in α-stable moving averages and max-stable processes with α-Fréchet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence based on the covariance of indicators of excursion sets. Sufficient conditions...
Persistent link: https://www.econbiz.de/10012428900
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Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George; Maurer, Frantz - In: Computational economics 62 (2023) 3, pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
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Withdrawal success estimation
Brown, Hayden - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-30
Persistent link: https://www.econbiz.de/10014497232
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Lévy processes on the cryptocurrency market
Zięba, Damian - 2019
Persistent link: https://www.econbiz.de/10012196575
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Best fitting fat tail distribution for the volatilities of energy futures: Gev, gat and stable distributions in GARCH and APARCH models
Gunay, Samet; Khaki, Audil Rashid - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-19
models under gev, gat and alpha-stable distributions. We also applied various VaR analyses, Gaussian, Historical and Modified …
Persistent link: https://www.econbiz.de/10012611018
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Best fitting fat tail distribution for the volatilities of energy futures : gev, gat and stable distributions in GARCH and APARCH models
Gunay, Samet; Khaki, Audil Rashid - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-19
models under gev, gat and alpha-stable distributions. We also applied various VaR analyses, Gaussian, Historical and Modified …
Persistent link: https://www.econbiz.de/10011857131
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Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Malek, Jiri; Nguyen, Duc Khuong; Sensoy, Ahmet; Quang … - In: Finance research letters 55 (2023) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10014472966
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A multistage risk-averse stochastic programming model for personal savings accrual : the evidence from Lithuania
Kabašinskas, Audrius; Maggioni, Francesca; Šutienė, … - 2019
Persistent link: https://www.econbiz.de/10012109495
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Bayesian estimation of stable CARMA spot models for electricity prices
Müller, Gernot; Seibert, Armin - In: Energy economics 78 (2019), pp. 267-277
Persistent link: https://www.econbiz.de/10012159939
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On uniqueness of moving average representations of heavy-tailed stationary processes
Gouriéroux, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014
domain of attraction of an $\alpha$-stable law, with $\alpha<2$. This shows the possibility to identify nonparametrically …
Persistent link: https://www.econbiz.de/10011107938
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