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Physics-inspired analysis of the two-class income distribution in the USA in 1983-2018

Yakovenko, Victor M.; Ludwig, Danial - 2023

Persistent link: https://www.econbiz.de/10014317167

Density of Skew Brownian motion and its functionals with application in finance

Gairat, Alexander; Shcherbakov, Vadim - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1069-1088

Persistent link: https://www.econbiz.de/10011765020

Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis

Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T.; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013464578

The optimal hedge ratio in option pricing : the case of exponentially truncated Lévy stable distribution

Busca, Gigel; Haven, Emmanuel; Jovanovic, Franck; … - In: Theoretical economics letters 4 (2014) 9, pp. 760-766

Persistent link: https://www.econbiz.de/10010531252

Time-varying skewness in stock returns : an information-based explanation

Alles, Lakshman - In: Quarterly journal of business and economics : QJBE 43 (2004) 1/2, pp. 45-55

Persistent link: https://www.econbiz.de/10002462066

Adaptive Proposal Distribution for Random Walk Metropolis Algorithm

Haario, Heikki; Saksman, Eero; Tamminen, Johanna - 2000

The choice of a suitable MCMC method and further the choice of a proposal distribution is known to be crucial for the convergence of the Markov chain. However, in many cases the choice of an effective proposal distribution is difficult. As a remedy we suggest a method called Adaptive Proposal...

Persistent link: https://www.econbiz.de/10014181867

Firm Profitability : Mean-Reverting or Random-Walk Behavior?

Canarella, Giorgio - 2014

We analyze the stochastic properties of three measures of profitability, return on assets (ROA), return on equity (ROE), and return on investment (ROI), using a balanced panel of US firms during the period 2001-2010. We employ a panel unit-root approach, which assists in identifying competitive...

Persistent link: https://www.econbiz.de/10013066567

Sample-path large deviations for unbounded additive functionals of the reflected random walk

Bazhba, Mihail; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert - In: Mathematics of operations research 50 (2025) 1, pp. 711-742

Persistent link: https://www.econbiz.de/10015211764

Nonlinearity, nonstationarity, and thick tails : how they interact to generate persistence in memory

Miller, J. Isaac; Park, Joon Y. - In: Journal of econometrics 155 (2010) 1, pp. 83-89

Persistent link: https://www.econbiz.de/10003965416

Firm profitability : mean-reverting or random-walk behavior?

Canarella, Giorgio; Miller, Stephen M.; Nourayi, Mahmoud M. - In: Journal of economics & business 66 (2013), pp. 76-97

Persistent link: https://www.econbiz.de/10009727583