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Elabed, Asma Graja; Masmoudi, Afif - In: Journal of mathematical finance 4 (2014) 2, pp. 95-103

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Empirical prediction intervals revisited

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BRIC's risk management based on an innovative VaR

Matos, Paulo; Cruz, Rogério; Jucá, Iana; Azevedo, Alana - In: The empirical economics letters : a monthly … 14 (2015) 7, pp. 697-704

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The robustness of estimatiors in structural credit loss distributions

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97

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Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions

Catalão, André; Rosenfeld, Rogério - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-52

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A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction

Te, Bao; Diks, Cees G. H.; Li, Hao - In: Economic modelling 68 (2018), pp. 611-621

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Skew-Brownian motion and pricing European exchange options

Pasricha, Puneet; He, Xin-Jiang - In: International review of financial analysis 82 (2022), pp. 1-9

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Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR

Maglione, Federico - 2015

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Analysis of Indian foreign exchange markets : a multifractal detrended fluctuation analysis (mfdfa) approach

Datta, Radhika Prosad - In: International journal of empirical economics 3 (2024) 3, pp. 1-27

The objectives of this paper are to analyse the presence of multifractality in daily exchange rates of the US dollar (USD), British Pound (GBP), Euro (EUR), and Japanese Yen (JPY) relative to the Indian Rupee (INR) for a specific period (1999-2018) and to investigate the source of the observed...

Persistent link: https://www.econbiz.de/10015194278