IDEAS home Printed from https://ideas.repec.org/e/pgz3.html
   My authors  Follow this author

Henryk Gzyl

Personal Details

First Name:Henryk
Middle Name:
Last Name:Gzyl
Suffix:
RePEc Short-ID:pgz3
Terminal Degree:1975 (from RePEc Genealogy)

Affiliation

Instituto de Estudios Superiores de Administración (IESA)

Caracas, Venezuela
http://www.iesa.edu.ve/
RePEc:edi:iesaave (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Pedro Cadenas & Henryk Gzyl & Hyun Woong Park, 2020. "How dark is the dark side of diversification?," Papers 2012.12154, arXiv.org.
  2. Henryk Gzyl & Alfredo Rios, 2018. "Which portfolio is better? A discussion of several possible comparison criteria," Papers 1805.06345, arXiv.org, revised Jun 2022.
  3. Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral, 2014. "Two maxentropic approaches to determine the probability density of compound risk losses," Papers 1411.5625, arXiv.org, revised Nov 2014.
  4. Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Stochastic Volatility Models Including Open, Close, High and Low Prices," Papers 0901.1315, arXiv.org.
  5. Henryk Gzyl & Silvia Mayoral, 2007. "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
  6. Henryk Gzyl & Enrique ter Horst & Samuel Malone, 2006. "Towards a Bayesian framework for option pricing," Papers cs/0610053, arXiv.org.
  7. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.

Articles

  1. Henryk Gzyl & Silvia Mayoral, 2024. "Joint probabilities under expected value constraints, transportation problems, maximum entropy in the mean," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 78(1), pages 228-243, February.
  2. Argimiro Arratia & Henryk Gzyl & Silvia Mayoral, 2022. "Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean," Mathematics, MDPI, vol. 10(4), pages 1-14, February.
  3. Pedro Cadenas & Henryk Gzyl, 2022. "The Effects of Securitization for Managing Banking Risk Using Alternative Tranching Schemes," JRFM, MDPI, vol. 15(10), pages 1-25, September.
  4. Henryk Gzyl, 2022. "Prediction in Riemannian metrics derived from divergence functions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(2), pages 552-568, January.
  5. Gzyl, Henryk, 2021. "Harmonic oscillators, waves and Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 172(C).
  6. Pedro E. Cadenas & Henryk Gzyl & Hyun Woong Park, 2021. "How dark is the dark side of diversification?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 22(1), pages 44-55, May.
  7. Gzyl, Henryk, 2021. "Forced harmonic oscillators, waves on a forced string and changes of measure," Statistics & Probability Letters, Elsevier, vol. 179(C).
  8. Pedro Cadenas & Henryk Gzyl, 2021. "Diversification Can Control Probability of Default or Risk, but Not Both," JRFM, MDPI, vol. 14(2), pages 1-10, February.
  9. Henryk Gzyl, 2021. "Construction of contingency tables by maximum entropy in the mean," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(20), pages 4778-4786, September.
  10. Antonios K. Alexandridis & Henryk Gzyl & Enrique ter Horst & German Molina, 2021. "Extracting pricing densities for weather derivatives using the maximum entropy method," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 72(11), pages 2412-2428, November.
  11. Argimiro Arratia & Henryk Gzyl, 2020. "Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 929-952, December.
  12. Laura H. Gunn & Henryk Gzyl & Enrique ter Horst & Miller Janny Ariza & German Molina, 2019. "Maximum entropy in the mean methods in propensity score matching for interval and noisy data," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(18), pages 4581-4597, September.
  13. Gzyl, Henryk & ter Horst, Enrique & Molina, Germán, 2019. "A model-free, non-parametric method for density determination, with application to asset returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 210-221.
  14. Gzyl, Henryk, 2019. "Hitting spheres with Brownian motion revisited," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
  15. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2018. "Calibration of short rate term structure models from bid–ask coupon bond prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 1456-1472.
  16. Gzyl, H. & Milev, M. & Tagliani, A., 2017. "Discontinuous payoff option pricing by Mellin transform: A probabilistic approach," Finance Research Letters, Elsevier, vol. 20(C), pages 281-288.
  17. Gzyl, H. & Tagliani, A., 2016. "Recovering a distribution from its translated fractional moments," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 171-176.
  18. Henryk Gzyl, 2016. "Sample Dependence in the Maximum Entropy Solution to the Generalized Moment Problem," Journal of Probability and Statistics, Hindawi, vol. 2016, pages 1-5, December.
  19. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2016. "Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 145-153.
  20. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
  21. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Two maxentropic approaches to determine the probability density of compound risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 42-53.
  22. Gzyl, Henryk & ter Horst, Enrique & Molina, German, 2015. "A spectral measure estimation problem in rheology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 129-133.
  23. Gzyl, Henryk & ter Horst, Enrique & Molina, German, 2015. "Application of the method of maximum entropy in the mean to classification problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 101-108.
  24. Gzyl, Henryk & ter Horst, Enrique & Villasana, Minaya, 2015. "Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 594-602.
  25. Gzyl, Henryk & Novi Inverardi, Pierluigi & Tagliani, Aldo, 2015. "Entropy and density approximation from Laplace transforms," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 225-236.
  26. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Maxentropic approach to decompound aggregate risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 326-336.
  27. Henryk Gzyl & Pier Luigi Novi Inverardi & Aldo Tagliani, 2014. "Fractional Moments and Maximum Entropy: Geometric Meaning," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(17), pages 3596-3601, September.
  28. Gzyl, Henryk & Novi-Inverardi, Pier-Luigi & Tagliani, Aldo, 2013. "Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 457-463.
  29. Henryk Gzyl & Silvia Mayoral, 2012. "Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 299-312, August.
  30. Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina, 2012. "Stochastic volatility models including open, close, high and low prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 199-212, May.
  31. Gzyl, Henryk & Mayoral, Silvia, 2010. "A method for determining risk aversion functions from uncertain market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 84-89, August.
  32. Henryk Gzyl & Enrique Ter Horst, 2009. "Recovering Decay Rates from Noisy Measurements with Maximum Entropy in the Mean," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-13, June.
  33. Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Assessment and propagation of input uncertainty in tree‐based option pricing models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 275-308, May.
  34. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
  35. Henryk Gzyl & Enrique ter Horst & Samuel W. Malone, 2008. "Bayesian parameter inference for models of the Black and Scholes type," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(6), pages 507-524, November.
  36. de la Pena, Victor & Gzyl, Henryk & McDonald, Patrick, 2008. "Inverse problems for random walks on trees: Network tomography," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3176-3183, December.
  37. Henryk Gzyl & Noam Zeev, 2002. "Probabilistic Approach to an Image Reconstruction Problem," Methodology and Computing in Applied Probability, Springer, vol. 4(3), pages 279-290, September.
  38. Henryk Gzyl, 2000. "Maxentropic construction of risk neutral measures: discrete market models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 229-239.
  39. Gzyl, Henryk, 1990. "Diffusions on some submanifolds of euclidean spaces," Statistics & Probability Letters, Elsevier, vol. 10(4), pages 317-319, September.
  40. Gzyl, Henryk, 1987. "Characterization of vector valued, gaussian, stationary, markov processes," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 17-19, September.
  41. Betz, Cristina & Gzyl, Henryk, 1981. "Remarks on the equation dXt = a(Xt)dBt," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 313-315, August.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Pedro Cadenas & Henryk Gzyl & Hyun Woong Park, 2020. "How dark is the dark side of diversification?," Papers 2012.12154, arXiv.org.

    Cited by:

    1. Chen, Zhonglu & Umar, Muhammad & Su, Chi-Wei & Mirza, Nawazish, 2023. "Renewable energy, credit portfolios and intermediation spread: Evidence from the banking sector in BRICS," Renewable Energy, Elsevier, vol. 208(C), pages 561-566.
    2. Pedro Cadenas & Henryk Gzyl, 2021. "Diversification Can Control Probability of Default or Risk, but Not Both," JRFM, MDPI, vol. 14(2), pages 1-10, February.

  2. Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral, 2014. "Two maxentropic approaches to determine the probability density of compound risk losses," Papers 1411.5625, arXiv.org, revised Nov 2014.

    Cited by:

    1. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Maxentropic approach to decompound aggregate risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 326-336.
    2. Kartashova Olga Ivanovna & Molchanova Olga Vladimirovna & Axana Turgaeva, 2018. "Insurance Risks Management Methodology," JRFM, MDPI, vol. 11(4), pages 1-15, October.
    3. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2016. "Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 145-153.

  3. Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Stochastic Volatility Models Including Open, Close, High and Low Prices," Papers 0901.1315, arXiv.org.

    Cited by:

    1. Yuta Kurose, 2021. "Stochastic volatility model with range-based correction and leverage," Papers 2110.00039, arXiv.org, revised Oct 2021.
    2. Bastidon, Cécile & Jawadi, Fredj, 2024. "Trade fragmentation and volatility-of-volatility networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    3. Suk Joon Byun & Jung‐Soon Hyun & Woon Jun Sung, 2021. "Estimation of stochastic volatility and option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 349-360, March.
    4. Dilip Kumar, 2020. "Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 587-610, September.
    5. Kumar, Dilip & Maheswaran, S., 2014. "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 166-176.
    6. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    7. Parthajit Kayal & Sumanjay Dutta & Vipul Khandelwal & Rakesh Nigam, 2021. "Information Theoretic Ranking of Extreme Value Returns," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 1-21, March.
    8. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    9. Dilip Kumar, 2016. "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences 3205528, International Institute of Social and Economic Sciences.
    10. Parthajit Kayal & S. Maheswaran, 2017. "Is USD-INR Really an Excessively Volatile Currency Pair?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(2), pages 329-342, June.
    11. Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
    12. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
    13. Nijolė MAKNICKIENĖ & Jelena STANKEVIČIENĖ & Algirdas MAKNICKAS, 2020. "Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 134-148, September.
    14. Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
    15. Dilip Kumar, 2018. "Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 313-335, June.
    16. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
    17. Maheswaran, S. & Kumar, Dilip, 2013. "An automatic bias correction procedure for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 33(C), pages 701-712.

  4. Henryk Gzyl & Silvia Mayoral, 2007. "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.

    Cited by:

    1. Gzyl, Henryk & Mayoral, Silvia, 2010. "A method for determining risk aversion functions from uncertain market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 84-89, August.
    2. J. Arismendi-Zambrano & R. Azevedo, 2020. "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series n303-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    3. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds," Working Papers 2019-004, Department of Research, Ipag Business School.

  5. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.

    Cited by:

    1. Henryk Gzyl & Silvia Mayoral, 2007. "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
    2. Liu, Yangyang & Zhou, Jiangxin & Zhou, Qihui & Liu, Chuanquan & Yu, Feng, 2023. "Bidding strategy of integrated energy system considering decision maker’s subjective risk aversion," Applied Energy, Elsevier, vol. 341(C).

Articles

  1. Argimiro Arratia & Henryk Gzyl & Silvia Mayoral, 2022. "Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean," Mathematics, MDPI, vol. 10(4), pages 1-14, February.

    Cited by:

    1. Al-Nassar, Nassar S. & Yousaf, Imran & Makram, Beljid, 2023. "Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

  2. Gzyl, Henryk, 2021. "Harmonic oscillators, waves and Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 172(C).

    Cited by:

    1. Gzyl, Henryk, 2021. "Forced harmonic oscillators, waves on a forced string and changes of measure," Statistics & Probability Letters, Elsevier, vol. 179(C).

  3. Pedro E. Cadenas & Henryk Gzyl & Hyun Woong Park, 2021. "How dark is the dark side of diversification?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 22(1), pages 44-55, May.
    See citations under working paper version above.
  4. Gzyl, H. & Milev, M. & Tagliani, A., 2017. "Discontinuous payoff option pricing by Mellin transform: A probabilistic approach," Finance Research Letters, Elsevier, vol. 20(C), pages 281-288.

    Cited by:

    1. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node," Papers 1712.01060, arXiv.org, revised Feb 2018.
    2. Ahmadian, D. & Farkhondeh Rouz, O. & Ivaz, K. & Safdari-Vaighani, A., 2020. "Robust numerical algorithm to the European option with illiquid markets," Applied Mathematics and Computation, Elsevier, vol. 366(C).

  5. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.

    Cited by:

    1. Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.

  6. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Two maxentropic approaches to determine the probability density of compound risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 42-53.
    See citations under working paper version above.
  7. Gzyl, Henryk & ter Horst, Enrique & Molina, German, 2015. "A spectral measure estimation problem in rheology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 129-133.

    Cited by:

    1. Gzyl, Henryk & ter Horst, Enrique & Molina, Germán, 2019. "A model-free, non-parametric method for density determination, with application to asset returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 210-221.

  8. Gzyl, Henryk & Novi Inverardi, Pierluigi & Tagliani, Aldo, 2015. "Entropy and density approximation from Laplace transforms," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 225-236.

    Cited by:

    1. Dang, Chao & Xu, Jun, 2020. "Unified reliability assessment for problems with low- to high-dimensional random inputs using the Laplace transform and a mixture distribution," Reliability Engineering and System Safety, Elsevier, vol. 204(C).
    2. Zhang, Yang & Xu, Jun & Gardoni, Paolo, 2024. "A loading contribution degree analysis-based strategy for time-variant reliability analysis of structures under multiple loading stochastic processes," Reliability Engineering and System Safety, Elsevier, vol. 243(C).
    3. Zhang, Yang & Xu, Jun & Beer, Michael, 2023. "A single-loop time-variant reliability evaluation via a decoupling strategy and probability distribution reconstruction," Reliability Engineering and System Safety, Elsevier, vol. 232(C).

  9. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Maxentropic approach to decompound aggregate risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 326-336.

    Cited by:

    1. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2016. "Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 145-153.

  10. Henryk Gzyl & Pier Luigi Novi Inverardi & Aldo Tagliani, 2014. "Fractional Moments and Maximum Entropy: Geometric Meaning," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(17), pages 3596-3601, September.

    Cited by:

    1. Gzyl, Henryk & Novi Inverardi, Pierluigi & Tagliani, Aldo, 2015. "Entropy and density approximation from Laplace transforms," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 225-236.

  11. Gzyl, Henryk & Novi-Inverardi, Pier-Luigi & Tagliani, Aldo, 2013. "Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 457-463.

    Cited by:

    1. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2015. "A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model," Post-Print hal-00853680, HAL.
    2. Mnatsakanov, Robert M. & Sarkisian, Khachatur & Hakobyan, Artak, 2015. "Approximation of the ruin probability using the scaled Laplace transform inversion," Applied Mathematics and Computation, Elsevier, vol. 268(C), pages 717-727.
    3. David J. Santana & Juan González-Hernández & Luis Rincón, 2017. "Approximation of the Ultimate Ruin Probability in the Classical Risk Model Using Erlang Mixtures," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 775-798, September.

  12. Henryk Gzyl & Silvia Mayoral, 2012. "Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 299-312, August.

    Cited by:

    1. J. Arismendi-Zambrano & R. Azevedo, 2020. "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series n303-20.pdf, Department of Economics, National University of Ireland - Maynooth.

  13. Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina, 2012. "Stochastic volatility models including open, close, high and low prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 199-212, May.
    See citations under working paper version above.
  14. Gzyl, Henryk & Mayoral, Silvia, 2010. "A method for determining risk aversion functions from uncertain market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 84-89, August.

    Cited by:

    1. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
    2. Gzyl, Henryk & ter Horst, Enrique & Molina, German, 2015. "Application of the method of maximum entropy in the mean to classification problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 101-108.

  15. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
    See citations under working paper version above.
  16. Henryk Gzyl & Noam Zeev, 2002. "Probabilistic Approach to an Image Reconstruction Problem," Methodology and Computing in Applied Probability, Springer, vol. 4(3), pages 279-290, September.

    Cited by:

    1. Loubes, Jean-Michel & Rochet, Paul, 2012. "Approximate maximum entropy on the mean for instrumental variable regression," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 972-978.

  17. Gzyl, Henryk, 1987. "Characterization of vector valued, gaussian, stationary, markov processes," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 17-19, September.

    Cited by:

    1. Gzyl, Henryk, 2021. "Forced harmonic oscillators, waves on a forced string and changes of measure," Statistics & Probability Letters, Elsevier, vol. 179(C).
    2. Gzyl, Henryk, 2021. "Harmonic oscillators, waves and Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 172(C).

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2006-12-01 2014-12-03 2018-05-28 2021-02-01
  2. NEP-BAN: Banking (1) 2021-02-01
  3. NEP-ECM: Econometrics (1) 2014-12-03
  4. NEP-FMK: Financial Markets (1) 2021-02-01
  5. NEP-UPT: Utility Models and Prospect Theory (1) 2006-12-01

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Henryk Gzyl should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.