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  • Search: subject:"distribution moments"
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Year of publication
Subject
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High distribution moments 2 Performance evaluation 2 Rare disasters 2 Statistical distribution 2 Statistische Verteilung 2 distribution moments 2 ARCH model 1 ARCH-Modell 1 Capital income 1 Disaster 1 Economic crisis 1 Einkommensverteilung 1 Emergency management 1 Erdöl 1 Estimation theory 1 Exchange rate 1 Fleishman power method 1 Gold 1 Gumbel copula 1 Higher distribution moments 1 Income distribution 1 Jumps 1 Kapitaleinkommen 1 Katastrophe 1 Katastrophenschutz 1 Market linkage 1 Multivariate Verteilung 1 Multivariate distribution 1 Oil price 1 Performance measurement 1 Performance-Messung 1 Petroleum 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 Präferenztheorie 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1
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Undetermined 4
Type of publication
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Article 5
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4
Language
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English 4 Undetermined 1
Author
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Liu, Fang 3 Kadan, Ohad 2 De Jongh, Riaan 1 Li, Yuxue 1 Luo, Chunling 1 Tan, Chin Hon 1 Van Vuuren, Gary 1 Zhang, Yi 1 Zhou, Long 1
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Published in...
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Applied economics 1 Decision analysis : a journal of the Institute for Operations Research and the Management Sciences, INFORMS 1 Journal of Financial Economics 1 Journal of financial economics 1 The North American journal of economics and finance : a journal of financial economics studies 1
Source
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ECONIS (ZBW) 4 RePEc 1
Showing 1 - 5 of 5
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Higher-order moment nexus between the US Dollar, crude oil, gold, and bitcoin
Zhang, Yi; Zhou, Long; Li, Yuxue; Liu, Fang - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014485587
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Clear preferences under partial distribution information
Tan, Chin Hon; Luo, Chunling - In: Decision analysis : a journal of the Institute for … 14 (2017) 1, pp. 65-73
Persistent link: https://www.econbiz.de/10011685994
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A comparison of risk aggregation estimates using copulas and Fleishman distributions
Van Vuuren, Gary; De Jongh, Riaan - In: Applied economics 49 (2017) 17, pp. 1715-1731
Persistent link: https://www.econbiz.de/10011815395
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Performance evaluation with high moments and disaster risk
Kadan, Ohad; Liu, Fang - In: Journal of Financial Economics 113 (2014) 1, pp. 131-155
Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (2008) and Foster and Hart (2009) as performance indices. We derive the moment properties of these indices and their...
Persistent link: https://www.econbiz.de/10011039244
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Performance evaluation with high moments and disaster risk
Kadan, Ohad; Liu, Fang - In: Journal of financial economics 113 (2014) 1, pp. 131-155
Persistent link: https://www.econbiz.de/10010421823
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