Results 51 to 60 of about 475 (79)
Diversified Portfolios with Jumps in a Benchmark Framework [PDF]
This paper considers diversifed portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided.
Eckhard Platen
core
Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework [PDF]
This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework.
Bernd Hayo, Britta Niehof
core
A New Logit-Based Gini Coefficient. [PDF]
Entropy (Basel), 2019 Ryu HK, Slottje DJ, Kwon HY.
europepmc +1 more source
On the Distributional Characterization of Log-returns of a World Stock Index [PDF]
In this paper we identify distributions which suitably fit log-returns of the world stock index (WSI) when these are expressed in units of different currencies.
Eckhard Platen, Kevin Fergusson
core
Pricing and hedging for incomplete jump diffusion benchmark models [PDF]
, 2004 Platen, E
core +1 more source
Parametric estimation of quantile versions of Zenga and D inequality curves: methodology and application to Weibull distribution. [PDF]
J Appl StatPia̧tek S.
europepmc +1 more source
A Class of Structured High-Dimensional Dynamic Covariance Matrices. [PDF]
Commun Math StatYang J, Lian H, Zhang W.
europepmc +1 more source
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Modelling expenditure in tourism using the log-skew normal distribution
Current Issues in Tourism, 2022Emilio Gómez-Déniz +2 more
exaly