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International journal of theoretical and applied finance
Insurance / Mathematics & economics
195
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169
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113
Economics letters
94
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
62
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1
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
2
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
3
Option implied VIX, Skew and Kurtosis term structures
Madan, Dilip B.
;
Wang, King
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012662046
Saved in:
4
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
5
Information flow dependence in financial markets
Michaelsen, Markus
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
Saved in:
6
Multivariate distributions for financial returns
Madan, Dilip B.
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496775
Saved in:
7
Option pricing with heavy-tailed distributions of logarithmic returns
Basnarkov, Lasko
;
Stojkoski, Viktor
;
Utkovski, Zoran
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012153313
Saved in:
8
Change-point analysis of asset price bubbles with power-law hazard function
Lynch, Christopher
;
Mestel, Benjamin
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153466
Saved in:
9
Defaultable claims in switching models with partial information
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
Saved in:
10
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
11
Option pricing in the variance-gamma model under the drift jump
Ivanov, Roman V.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011892547
Saved in:
12
Skewed Lévy models and implied volatility skew
Olivera, Federico de
;
Barbachan, José Santiago Fajardo
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Saved in:
13
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
14
Drawdown measures and return moments
Möller, Philipp M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
Saved in:
15
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
16
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
17
Robust trading of implied skew
Nadtochiy, Sergey
;
Obłój, Jan
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011686820
Saved in:
18
Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift
Zhuo, Xiaoyang
;
Menoukeu-Pamen, Olivier
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011687043
Saved in:
19
Multiple testing of sign symmetry for stock return distributions
Koldanov, Petr
;
Lozgacheva, Nina
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686758
Saved in:
20
A comparative study of monotone quantile regression methods for financial returns
Cai, Yuzhi
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011523744
Saved in:
21
Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
Saved in:
22
Portfolio return distributions : sample statistics with stochastic correlations
Chetalova, Desislava
;
Schmitt, Thilo A.
;
Schäfer, Rudi
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011403228
Saved in:
23
Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent
;
Dao, Tung-Lam
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
Saved in:
24
On the role of skewness, kurtosis, and the location and scale condition in a sharpe ratio performance evaluation setting
Auer, Benjamin R.
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403903
Saved in:
25
Option pricing based on a log-skew-normal mixture
Jiménez, José Alfredo
;
Arunachalam, V.
;
Serna, G. M.
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011418885
Saved in:
26
Lower bound approximation to basket option values for local volatility jump-diffusion models
Xu, Guoping
;
Zheng, Harry
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
Saved in:
27
Credit-equity modeling under a latent Lévy firm process
Kijima, Masaaki
;
Siu, Chi Chung
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10010364748
Saved in:
28
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
29
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
30
A simple time-consistent model for the forward density process
Hult, Henrik
;
Lindskog, Filip
;
Nykvist, Johan
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
Saved in:
31
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
32
The joint distribution of stock returns is not elliptical
Chicheportiche, Rémy
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009624498
Saved in:
33
Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo
;
Toscano, Pietro
;
Tunaru, Radu S.
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
Saved in:
34
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
35
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
36
Estimating univariate distributions via relative entropy minimization : case studies on financial and economic data
Friedman, Craig
;
Zhang, Yangyong
;
Huang, Jinggang
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 163-193
Persistent link: https://www.econbiz.de/10008860416
Saved in:
37
An analytical framework for explaining relative performance of CAPM beta and downside beta
Galagedera, Don U. A.
- In:
International journal of theoretical and applied finance
12
(
2009
)
3
,
pp. 341-358
Persistent link: https://www.econbiz.de/10003867409
Saved in:
38
Barrier probabilities and maximum sverity of ruin for a renewal risk model
Thampi, K. K.
;
Jacob, M. J.
;
Raju, N.
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 837-846
Persistent link: https://www.econbiz.de/10003564674
Saved in:
39
Lévy simple structural models
Baxter, Martin
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 593-606
Persistent link: https://www.econbiz.de/10003503338
Saved in:
40
Cluster-based extension of the generalized poisson loss dynamics and consistency with single names
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 607-631
Persistent link: https://www.econbiz.de/10003503347
Saved in:
41
Stochastic intensity modeling for structured credit exotics
Chapovsky, Alexander
;
Rennie, Andrew
;
Tavares, Pedro
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 633-652
Persistent link: https://www.econbiz.de/10003503353
Saved in:
42
On the term structure of loss distributions : a forward model approach
Sidenius, Jakob
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 749-761
Persistent link: https://www.econbiz.de/10003503392
Saved in:
43
An equilibrium-based model of stock-pinning
Nayak, Suhas
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 535-555
Persistent link: https://www.econbiz.de/10003463470
Saved in:
44
A comment on two-phase behavior of financial markets
Krzesinski, Anthony E.
;
Costa, Andre
;
Ramakrishnan, Maya
; …
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 89-93
Persistent link: https://www.econbiz.de/10003415699
Saved in:
45
Two-component extreme value distribution for Asia-Pacific stock index returns
Ané, Thierry
- In:
International journal of theoretical and applied finance
9
(
2006
)
5
,
pp. 643-671
Persistent link: https://www.econbiz.de/10003378957
Saved in:
46
A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen
;
Groth, Martin
;
Kettler, Paul C.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
Saved in:
47
The forward PDE for European options on stocks with fixed fractional jumps
Carr, Peter
;
Javaheri, Alireza
- In:
International journal of theoretical and applied finance
8
(
2005
)
2
,
pp. 239-253
Persistent link: https://www.econbiz.de/10002679581
Saved in:
48
Some remarks on mean-variance hedging for discontinuous asset price processes
Arai, Takuji
- In:
International journal of theoretical and applied finance
8
(
2005
)
4
,
pp. 425-443
Persistent link: https://www.econbiz.de/10002980637
Saved in:
49
First passage times for risk-tracking proxies
Vaugirard, Victor
- In:
International journal of theoretical and applied finance
8
(
2005
)
4
,
pp. 445-462
Persistent link: https://www.econbiz.de/10002980661
Saved in:
50
Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Kamdem, Jules Sadefo
- In:
International journal of theoretical and applied finance
8
(
2005
)
5
,
pp. 537-551
Persistent link: https://www.econbiz.de/10003058599
Saved in:
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