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Year of publication
Subject
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Statistical distribution 30 Statistische Verteilung 30 Theorie 23 Theory 22 Volatility 20 Volatilität 20 Schätzung 12 Option pricing theory 11 Optionspreistheorie 11 Estimation 10 Estimation theory 10 Schätztheorie 10 Stochastic process 10 Stochastischer Prozess 10 Capital income 9 Kapitaleinkommen 9 implied volatility skew 9 Portfolio selection 8 Forecasting model 7 Implied Volatility Skew 7 Portfolio-Management 7 Prognoseverfahren 7 Stochastic volatility 7 skew normal distribution 7 2-join 6 Option trading 6 Optionsgeschäft 6 Risiko 6 Skew-normal distribution 6 decomposition 6 skew 6 ARCH model 5 ARCH-Modell 5 Bayesian VAR 5 Multivariate Verteilung 5 Multivariate distribution 5 Probability theory 5 Risk 5 VAR model 5 VAR-Modell 5
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Online availability
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Free 152 CC license 11
Type of publication
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Book / Working Paper 112 Article 39 Other 1
Type of publication (narrower categories)
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Working Paper 43 Article in journal 25 Aufsatz in Zeitschrift 25 Graue Literatur 23 Non-commercial literature 23 Arbeitspapier 22 Article 7 Hochschulschrift 2 Collection of articles written by one author 1 Research Report 1 Sammlung 1 Thesis 1
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Language
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English 97 Undetermined 53 Hungarian 1 Portuguese 1
Author
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Mazur, Stepan 13 Siddiqi, Hammad 8 Kräussl, Roman 7 Nguyen, Hoang 7 Stork, Philip 7 Trotignon, Nicolas 6 Berkhout, Peter 5 Hartog, Joop 5 Javed, Farrukh 5 Kiss, Tamás 5 Österholm, Pär 5 Amengual, Dante 4 Fischer, Matthias J. 4 Félix, Luiz 4 Sentana, Enrique 4 Charemza, Wojciech 3 Felix, Luiz 3 Harhoff, Dietmar 3 Loperfido, Nicola 3 Scherer, Frederic M. 3 Vopel, Katrin 3 Wang, Tonghui 3 van Praag, Mirjam 3 Adcock, Chris 2 Alexandra, Carol 2 Astebro, Thomas 2 Baringhaus, Ludwig 2 Bei, Xinye 2 Bei, Xinyue 2 Bernardi, Mauro 2 Boukai, Benzion 2 Bufalo, Michele 2 Chan, Nancy Y. C. 2 Chen, Cathy W.S. 2 GRIGOROV, OTTO 2 Galeano, Pedro 2 García, Juan Angel 2 Gerlach, Richard 2 Gohs, Andreas Marcus 2 Greenacre, Michael 2
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 20 Henley Business School, University of Reading 4 HAL 3 Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne) 3 Business School, University of Sydney 2 Departamento de Estadistica, Universidad Carlos III de Madrid 2 Department of Economics and Business, Universitat Pompeu Fabra 2 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 2 Agricultural and Applied Economics Association - AAEA 1 Center for Financial Studies 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Crawford School of Public Policy, Australian National University 1 Department of Economics, College of Business and Economics 1 Department of Economics, Leicester University 1 Department of Economics, Lerner College of Business and Economics 1 Dipartimento di Economia, Università degli Studi di Perugia 1 Dipartimento di Ingegneria Gestionale, Università degli Studi di Bergamo 1 Départment d'économétrie et d'économie politique (DEEP), Faculté des Hautes Études Commerciales (HEC) 1 European Central Bank 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 Facoltà di Economia, Università degli Studi di Urbino 1 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 1 Institute for the Study of Labor (IZA) 1 Institute of Economic Research, Hitotsubashi University 1 London School of Economics (LSE) 1 National Research University Higher School of Economics 1 School of Economics, Finance and Management, University of Bristol 1 Society for Computational Economics - SCE 1 Society for Economic Dynamics - SED 1 Technische Hochschule Mittelhessen 1 Tinbergen Instituut 1 Zentrum für Europäische Wirtschaftsforschung (ZEW) 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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MPRA Paper 20 Working Paper 9 Working paper 5 ICMA Centre Discussion Papers in Finance 4 Asian journal of economics and banking : AJEB 3 Cahiers de la Maison des Sciences Economiques 3 ECARES working paper 3 Post-Print / HAL 3 CEMFI working paper 2 CFS Working Paper Series 2 Discussion Papers / Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 2 Discussion paper / Tinbergen Institute 2 Discussion papers / University of Leicester, Department of Economics 2 Diskussionspapier 2 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 2 IZA Discussion Papers 2 Journal of forecasting 2 Risks : open access journal 2 Statistical Papers 2 Statistics and Econometrics Working Papers 2 Tinbergen Institute Discussion Paper 2 Working Papers / Business School, University of Sydney 2 ZEW Discussion Papers 2 2006 Meeting Papers 1 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 1 Advanced Logistic systems 1 American journal of agricultural economics 1 Annals of Operations Research 1 Bristol Economics Discussion Papers 1 CAMA Working Papers 1 CEMMAP working papers / Centre for Microdata Methods and Practice 1 CFS Working Paper 1 CFS working paper series 1 CORE Discussion Papers 1 Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 1 Carlo Alberto Notebooks 1 Cogent economics & finance 1 Computing in Economics and Finance 2005 1 Decision analytics journal 1 Discussion Papers in Economics 1
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Source
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RePEc 70 ECONIS (ZBW) 50 EconStor 30 BASE 2
Showing 1 - 10 of 152
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de/10015325017
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Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202
Persistent link: https://www.econbiz.de/10015130561
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Gain-probability diagrams as an alternative to significance testing in economics and finance
Trafimow, David; Wang, Ziyuan; Tong, Tingting; Wang, Tonghui - In: Asian journal of economics and banking : AJEB 7 (2023) 3, pp. 333-357
Purpose - The purpose of this article is to show the gains that can be made if researchers were to use gain-probability (G-P) diagrams. Design/methodology/approach - The authors present relevant mathematical equations, invented examples and real data examples. Findings - G-P diagrams provide a...
Persistent link: https://www.econbiz.de/10014445518
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Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management : dynamic skew-t copula approach
Ito, Kakeru; Yoshiba, Toshinao - In: International review of economics & finance : IREF 97 (2025), pp. 1-19
Persistent link: https://www.econbiz.de/10015324226
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The a priori procedure (APP) for estimating median under skew normal settings with applications in economics and finance
Hu, Liqun; Wang, Tonghui; Trafimow, David; Choy, S. T. Boris - In: Asian journal of economics and banking : AJEB 9 (2025) 1, pp. 144-158
skew normal settings. The mathematical derivation and with computer simulations of the exact method by using sample median …
Persistent link: https://www.econbiz.de/10015357557
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The method of moments for multivariate random sums
Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024
problem by the method of moments, under the assumption that the claim size and the claim number have a multivariate skew …
Persistent link: https://www.econbiz.de/10014581240
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our …
Persistent link: https://www.econbiz.de/10015130168
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Skew Log-logistic distribution: properties and application
Gaire, Arjun Kumar; Gurung, Yogendra Bahadur - In: Statistics in transition : an international journal of … 25 (2024) 1, pp. 43-62
This paper introduces a novel three-parameter skew-log-logistic distribution. The research involves the development of …
Persistent link: https://www.econbiz.de/10015125400
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our …
Persistent link: https://www.econbiz.de/10015084442
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Performance of crypto-Forex portfolios based on intraday data
Esparcia, Carlos; López, Raquel - In: Research in international business and finance 69 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015052354
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