Pages that link to "Item:Q4646480"

The following pages link to Empirical properties of asset returns: stylized facts and statistical issues (Q4646480):

Displaying 50 items.

• Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
• Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods (Q127928) (← links)
• Nonparametric state price density estimation using constrained least squares and the bootstrap (Q275252) (← links)
• Insights to systematic risk and diversification across a joint probability distribution (Q282287) (← links)
• Robust inference of risks of large portfolios (Q308377) (← links)
• Animal spirits in the foreign exchange market (Q310958) (← links)
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest (Q310961) (← links)
• Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443) (← links)
• Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
• Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market (Q372927) (← links)
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps (Q380540) (← links)
• Short sales in log-robust portfolio management (Q420886) (← links)
• Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression (Q458120) (← links)
• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438) (← links)
• Portfolio risk assessment using multivariate extreme value methods (Q482071) (← links)
• An accurate algorithm to calculate the Hurst exponent of self-similar processes (Q489372) (← links)
• Measuring multiscaling in financial time-series (Q508279) (← links)
• Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics (Q508870) (← links)
• Monitoring multivariate time series (Q511999) (← links)
• Econophysics for philosophers (Q643097) (← links)
• An introduction to statistical finance (Q699524) (← links)
• CAPM with fuzzy returns and hypothesis testing (Q743141) (← links)
• A hidden Markov model with dependence jumps for predictive modeling of multidimensional time-series (Q778379) (← links)
• Developing new portfolio strategies by aggregation (Q827154) (← links)
• Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
• High-dimensional two-sample mean vectors test and support recovery with factor adjustment (Q830606) (← links)
• Continuous cascade models for asset returns (Q844574) (← links)
• Semiparametric bivariate Archimedean copulas (Q901593) (← links)
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach (Q956504) (← links)
• An option pricing formula for the GARCH diffusion model (Q957204) (← links)
• Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model (Q961412) (← links)
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates (Q964583) (← links)
• Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces (Q984604) (← links)
• Stock return predictability despite low autocorrelation (Q991357) (← links)
• Large deviations for heavy-tailed factor models (Q1003783) (← links)
• A mathematical approach to detect the Taylor property in TARCH processes (Q1007346) (← links)
• Fat tails and volatility clustering in experimental asset markets (Q1017068) (← links)
• Bounds and approximations for sums of dependent log-elliptical random variables (Q1023100) (← links)
• A reinvestigation of robust scale estimation in finite samples (Q1023867) (← links)
• Stochastic calculus for assets with non-Gaussian price fluctuations (Q1606132) (← links)
• Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
• Computation of the Delta of European options under stochastic volatility models (Q1616804) (← links)
• Anomalous volatility scaling in high frequency financial data (Q1619205) (← links)
• Equilibrium pricing in an order book environment: case study for a spin model (Q1619502) (← links)
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model (Q1619668) (← links)
• Linking market interaction intensity of 3D Ising type financial model with market volatility (Q1619821) (← links)
• Ising model of financial markets with many assets (Q1619880) (← links)
• Arbitrage with fractional Gaussian processes (Q1620481) (← links)
• The determinants of CDS spreads: evidence from the model space (Q1621637) (← links)
• TVICA -- time varying independent component analysis and its application to financial data (Q1623451) (← links)