Research classified by
Journal of
Economic Literature (JEL) codes
Top JEL
/
C: Mathematical and Quantitative Methods
/ /
C1: Econometric and Statistical Methods and Methodology: General
/ / /
C16: Econometric and Statistical Methods; Specific Distributions
This topic is covered by the following reading lists:- SOEP based publications
Most recent items first, undated at the end.
2017 ¿Es el mercado de metales eficiente?
by Diana Carolina Osorio & Luis Eduardo Giron & Lya Paola Sierra
2017 Duration Dependence in Employment: Evidence From the Last Half of the 20th Century
by Luke Ignaczak & Marcel-Cristian Voia
2017 Modelling and forecasting money demand: divide and conquer
by César Carrera & Jairo Flores
2017 Granularity of the Business Cycle Fluctuations: The Spanish Case
by Omar Blanco Arroyo & Simone Alfarano
2016 A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors
by Lorenzo Ricci & Vincenzo Verardi & Catherine Vermandele
2016 A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models
by Francis DiTraglia & Camilo García-Jimeno
2016 The Lila distribution and its applications in risk modelling
by Bertrand K. Hassani & Wei Yang
2016 Inference for Lorenz Curves
by Gholamreza Hajargasht & William E. Griffiths
2016 Granularity of the business cycle fluctuations: The Spanish case
by Omar Blanco & Simone Alfarano
2016 Robust Analysis of the Martingale Hypothesis
by Christian Gouriéroux & Joann Jasiak
2016 Robust Analysis of the Martingale Hypothesis
by Christian Gouriéroux & Joann Jasiak
2016 “Ley de Wagner”, un análisis de regresión lineal múltiple para Colombia
by Fabián Ernesto Vidal Sánchez
2016 Multivariate moments expansion density: application of the dynamic equicorrelation model
by Trino-Manuel Ñíguez & Javier Perote
2016 Mercado Integrado Latinoamericano (MILA): un análisis de integración financiera y volatilidades / Latin American Integrated Market (MILA): An Analysis of Financial Integration and Volatilities
by Reyes Zaráte, Francisco Javier
2016 The Capability Index when Some Assumptions are not Satisfied: Analysis and Empirical Comparisons/El índice de capacidad cuando no se cumplen algunas hipótesis de partida: Análisis y comparaciones empíricas
by MOYA FERNÁNDEZ, PABLO JOSÉ & MUÑOZ ROSAS, JUAN FRANCISCO & ÁLVAREZ VERDEJO, ENCARNACIÓN
2016 Alternative methods to derive option pricing models: review and comparison
by Cheng-Few Lee & Yibing Chen & John Lee
2016 Elasticidad entre los precios internacionales del petróleo y el tipo de cambio peso-dólar de 2010 a 2015
by Mota-Aragón, Martha Beatriz & Mata-Mata, Leovardo
2016 Caracterización Paramétrica de los Rendimientos de los Precios del Petróleo 2010-2015
by Mota-Aragón, Martha Beatriz & Mata-Mata, Leovardo
2016 Cost Efficiency Analysis Of Swedish Financial Enterprises: An Empirical Investigation / Análisis De Los Costes Financieros De Las Empresas Suecas: Una Investigación Empírica
by Akkaya, Onur
2016 Values And Environemtal Behavior In Small Pottery Businesses: Empirical Evidence From Mexico, Valores Y Comportamiento Ambiental En Pequenos Negocios: Evidencia Empirica De La Alfareria En Mexico
by Maria del Carmen Avendano & Arcelia Toledo-Lopez & Dora Lilia Guzman Cruz
2016 Performance of the Tunisian Water Utility: An input-distance function approach
by Mellah, Thuraya & Ben Amor, Tawfik
2016 Internal or external devaluation? What does the EC Consumer Survey tell us about macroeconomic adjustment in the Euro area?
by Arnold, Ivo J.M. & Soederhuizen, Beau
2016 Enhancing mean–variance portfolio selection by modeling distributional asymmetries
by Yew Low, Rand Kwong & Faff, Robert & Aas, Kjersti
2016 Multivariate moments expansion density: Application of the dynamic equicorrelation model
by Ñíguez, Trino-Manuel & Perote, Javier
2016 Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests
by Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng
2016 Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
by Brahimi, Brahim & Abdelli, Jihane
2016 Nonparametric estimation of operational value-at-risk (OpVaR)
by Tursunalieva, Ainura & Silvapulle, Param
2016 Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
by Gatfaoui, Hayette
2015 The effect of income on democracy revisited: A flexible distributional approach
by Idzalika, Rajius & Kneib, Thomas & Martinez-Zarzoso, Inmaculada
2015 Measuring the interaction dimension of segregation: the Gini-Exposure index
by Francesco Andreoli & Claudio Zoli
2015 Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR
by Federico Maglione
2015 Semiparametric Instrumental Variable Estimation in an Endogenous Treatment Model
by Roger Klein & Chan Shen
2015 A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
by João Nicolau & Paulo M.M. Rodrigues
2015 L'impact des dépenses publiques en sport sur les médailles olympiques: une analyse économétrique
by Paul Blais-Morisset & Vincent Boucher & Bernard Fortin
2015 L'impact des dépenses publiques en sport sur les médailles olympiques : une analyse économétrique
by Paul Blais-Morisset & Vincent Boucher & Bernard Fortin
2015 GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances
by Vijverberg, Wim P. & Hasebe, Takuya
2015 TERES - Tail Event Risk Expectile based Shortfall
by Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci &
2015 Volatility-related exchange traded assets: an econometric investigation
by Mencía, Javier & Sentana, Enrique
2015 Volatility-Related Exchange Traded Assets: An Econometric Investigation
by Javier Mencía & Enrique Sentana
2015 L’impact des dépenses publiques en sport sur les médailles olympiques: une analyse économétrique
by Vincent Boucher & Bernard Fortin & Paul Blais-Morisset
2015 Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
by Trino-Manuel Ñíguez & Ivan Paya & David Peel & Javier Perote
2015 Simulation of the term structure. An application for measuring the interest rate risk
by Mirta González & María Cecilia Pérez
2015 Tracking the Exchange Rate Management in Latin America
by César Carrera
2015 Understanding volatility dynamics in the EU-ETS market
by Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante
2015 Aplicación de las técnicas multivariantes al sector bancario español: el caso de las entidades afectadas por la restructuración (2008-2009) || Application of Multivariate Techniques?to Spanish Banking Sector: The Case of Entities Affected by Restructuring (2008-2009)
by Somoza López, Antonio
2015 Cluster Analysis as Method of Objects Uniformity Identification of Information-Analytical Management System
by Oleksandr Kostenko & Volodymyr Krayevskyy
2015 Tracking exchange rate management in Latin America
by Carrera, César
2015 Equity premia and state-dependent risks
by Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel
2015 Reward-risk momentum strategies using classical tempered stable distribution
by Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan
2015 Credit contagion in the presence of non-normal shocks
by Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang
2015 Understanding volatility dynamics in the EU-ETS market
by Eugenia Sanin, María & Violante, Francesco & Mansanet-Bataller, María
2015 Explicit form of approximate transition probability density functions of diffusion processes
by Choi, Seungmoon
2015 The distribution and regulation of Tobin’s q
by Scharfenaker, Ellis & dos Santos, Paulo L.
2015 On GMM estimation of distributions from grouped data
by Griffiths, William & Hajargasht, Gholamreza
2015 A Bayesian Approach Proposal For Inventory Cost And Demand Forecasting
by Sinan Apak
2014 Mixed equilibria in Tullock contests
by Christian Ewerhart
2014 Assessing systemic fragility: A probabilistic perspective
by Radev, Deyan
2014 Gibrat's law redux: Think profitability instead of growth
by Mundt, Philipp & Milakovic, Mishael & Alfarano, Simone
2014 A new framework for US city size distribution: Empirical evidence and theory
by Rafael González-Val & Arturo Ramos & Fernando Sanz-Gracia
2014 Income Distributions, Inequality, and Poverty in Asia, 1992–2010
by Chotikapanich, Duangkamon & Griffiths, William E. & Rao, D.S. Prasada & Karunarathne, Wasana
2014 Tracking the Exchange Rate Management in Latin America
by Carrera, César
2014 Corrections to: Multivariate normal distribution approaches for dependently truncated data
by Pan, Chi-Hung & Emura, Takeshi
2014 Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations
by Rubio, Francisco Javier & Steel, Mark F. J.
2014 On the parametric description of the French, German, Italian and Spanish city size distributions
by Puente-Ajovin, Miguel & Ramos, Arturo
2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2014 On the Super-Additivity and Estimation Biases of Quantile Contributions
by Nassim Nicholas Taleb & Raphaël Douady
2014 A Laplace Stochastic Frontier Model
by William C. Horrace & Christopher F. Parmeter
2014 The Intensity and Shape of Inequality: The ABG Method of Distributional Analysis
by Louis Chauvel
2014 Gibrat's law redux: Think profitability instead of growth
by Philipp Mundt & Mishael Milakovic & Simone Alfarano
2014 How to Persistently Finance Innovation: A Panel-Data Study on Exporting Firms in Sweden
by Lööf, Hans & Nabavi , Pardis
2014 Income Distributions, Inequality, and Poverty in Asia, 1992–2010
by Duangkamon Chotikapanich & William E. Griffiths & D. S. Prasada Rao & Wasana Karunarathne
2014 Uso de la Metodología Wavelets para la Validación de la Regla de la Raíz del Tiempo y su Aplicación al Riesgo de Mercado
by Javier Eliecer Pirateque Niño
2014 Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes
by Hynek Lavicka & Tomas Lichard & Jan Novotny
2014 Modeling Stock Index Returns using Semi-Parametric Approach with Multiplicative Adjustment
by Kaiping Wang
2014 The copula based on multivariate t-distribution with vector of degrees of freedom
by Balaev, Alexey
2014 On Modelling Insurance Data by Using a Generalized Lognormal Distribution || Sobre la modelización de datos de seguros usando una distribución lognormal generalizada
by García, Victoriano J. & Gómez-Déniz, Emilio & Vázquez-Polo, Francisco J.
2014 Unexpected tails in risk measurement: Some international evidence
by Tolikas, Konstantinos
2014 Testing for normality in linear regression models using regression and scale equivariant estimators
by Tabri, Rami Victor
2014 Probabilidades de default de las empresas españolas en época de crisis
by Carmen Badía Batlle & Merche Galisteo Rodríguez & Teresa Preixens Benedicto
2014 Estimación bayesiana del valor en riesgo: una aplicación para el mercado de valores colombiano
by Charle Augusto Londoño & Juan Carlos Correa & Mauricio Lopera
2013 Systemic risk and sovereign debt in the Euro area
by Radev, Deyan
2013 Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
by Monica Billio & Gregory Jannin & Bertrand Maillet & Loriana Pelizzon
2013 Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors
by Simon A. Broda
2013 Default dependence structure effects on the valuation of government guarantees
by Carlo Domenico Mottura & Luca Passalacqua
2013 Regularized Extended Skew-Normal Regression
by Shutes, Karl & Adcock, Chris
2013 On the Folded Normal Distribution
by Tsagris, Michail & Beneki, Christina & Hassani, Hossein
2013 Regularized Skew-Normal Regression
by Shutes, Karl & Adcock, Chris
2013 A new framework for the US city size distribution: Empirical evidence and theory
by Ramos, Arturo & Sanz-Gracia, Fernando & González-Val, Rafael
2013 On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2013 Simple Fractional Dickey Fuller test
by Bensalma, Ahmed
2013 Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2013 The accuracy of graphs to describe size distributions
by González-Val, Rafael & Ramos, Arturo & Sanz-Gracia, Fernando
2013 Hidden power law patterns in the top European football leagues
by Sergio, Da Silva & Raul, Matsushita & Eliza, Silveira
2013 A note on NIG-Levy process in asset price modeling: case of Estonian companies
by Teneng, Dean
2013 To the problem of evaluation of market risk of global equity index portfolio in global capital markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2013 Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN
by Rendón, Stephanie
2013 Overnight Index Rate: Model, Calibration, and Simulation
by Yashkir, Yuriy & Yashkir, Olga
2013 Size Distributions for All Cities: Which One is Best?
by González-Val, Rafael & Ramos, Arturo & Sanz, Fernando & Vera-Cabello, María
2013 Testing for persistence with breaks and outliers in South African house prices
by Luis Alberiko Gil-Alaña & Goodness C. Aye & Rangan Gupta
2013 Optimal Weights and Stress Banking Indexes
by Stefano Puddu
2013 Indicadores del sector transporte en Colombia. Informe consolidado
by Tito Yepes & Germán Ospina & Juliana Aguilar & Laura Calderón
2013 Riesgo operacional en los sistemas de pagos -Metodología VaR-
by Ana Cecilia Rodríguez & Ana Karina Rodríguez & Verónica Liñares
2013 Regulatory Reform and Productivity Change in Indian Banking
by Barbara Casu & Alessandra Ferrari & Tianshu Zhao
2013 Sistema Público De Dependencia Y Reducción Del Coste Individual De Cuidados A Lo Largo De La Vida
by CATALINA BOLANCÉ & RAMON ALEMANY & MONTSERRAT GUILLÉN
2013 Evidence for Multiple Labor Market Segments: An Entropic Analysis of US Earned Income, 1996-2007
by Markus P. A. Schneider
2013 Spectral Analysis And Networks In Financial Correlation Matrices, Analisis Espectral Y Redes En Matrices De Correlacion Financiera
by Linda Margarita Medina Herrera & Ernesto Armando Pacheco Velazquez
2013 Canonical vine copulas in the context of modern portfolio management: Are they worth it?
by Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy
2013 Asset pricing with skewed-normal return
by Carmichael, Benoıˆt & Coën, Alain
2013 Risk spillovers in international equity portfolios
by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo
2013 Equilibrium exchange rate determination and multiple structural changes
by Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald
2013 Methods for computing marginal data densities from the Gibbs output
by Fuentes-Albero, Cristina & Melosi, Leonardo
2013 Stable mixture GARCH models
by Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C.
2013 Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
by McCulloch, J. Huston & Percy, E. Richard
2013 Estimation for multivariate stable distributions with generalized empirical likelihood
by Ogata, Hiroaki
2013 Heavy tails of OLS
by Mikosch, Thomas & de Vries, Casper G.
2013 Linear and nonlinear regression with stable errors
by Nolan, John P. & Ojeda-Revah, Diana
2013 On the characteristic function for asymmetric Student t distributions
by Nadarajah, Saralees & Chan, Stephen & Afuecheta, Emmanuel
2013 Semiparametric smooth-coefficient stochastic frontier model
by Sun, Kai & Kumbhakar, Subal C.
2013 Derivation of marginal effects of determinants of technical inefficiency
by Kumbhakar, Subal C. & Sun, Kai
2013 Pareto–lognormal distributions: Inequality, poverty, and estimation from grouped income data
by Hajargasht, Gholamreza & Griffiths, William E.
2013 Housing and Saving with Finance Imperfection
by Yanbin Chen & Fangxing Li & Zhesheng Qiu
2013 The Regional Assessment Of Marginal Intra-Industry Specialization
by Oana Ancuta Stangaciu
2013 Equality Of Opportunity Between Men And Women On The Labour Market – The Gender Pay Gap Within The Eu Member States
by Oana Ancuta Stangaciu
2012 Testing for Persistence with Breaks and Outliers in South African House Prices
by Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta
2012 Parametric Lorenz Curves and the Modality of the Income Density Function
by Krause, Melanie
2012 Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
by Völker, Florian & Cremers, Heinz & Panzer, Christof
2012 A Note on Improved Estimation for the Topp-Leone Distribution
by David E. Giles
2012 Exact Asymptotic Goodness-of-Fit Testing For Discrete Circular Data, With Applications
by David E. Giles
2012 Risk Spillovers in International Equity Portfolios
by Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo
2012 Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices
by Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe
2012 Testing for Persistence with Breaks and Outliers in South African House Prices
by Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta
2012 Risk spillovers in international equity portfolios
by Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo
2012 Consistent Estimation of the “True” Fixed-effects Stochastic Frontier Model
by Federico Belotti & Giuseppe Ilardi
2012 Numerical distribution functions of fractional unit root and cointegration tests
by James G. MacKinnon & Morten Ørregaard Nielsen
2012 Predicting Instability
by Razzak, Weshah
2012 Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012
by Panait, Iulian & Constantinescu, Alexandru
2012 Risk measures for Skew Normal mixtures
by Bernardi, Mauro
2012 An asymmetry-steepness parameterization of the generalized lambda distribution
by Chalabi, Yohan / Y. & Scott, David J & Wuertz, Diethelm
2012 Independent Factor Autoregressive Conditional Density Model
by Alexios Ghalanos & Eduardo Rossi & Giovanni Urga
2012 Pareto-Lognormal Income Distributions:Inequality and Poverty Measures, Estimation and Performance
by Gholamreza Hajargasht and William E. Griffiths
2012 The agglomeration effect of the Athens 2004 Olympic Games
by José M. Albert & Nikolaos Georgantzis & Jorge Mateu & José I. Silva
2012 On the Measurement of Dissimilarity and Related Orders
by Francesco Andreoli & Claudio Zoli
2012 Zipf’S Law: Main Issues In Empirical Work
by Rafael GONZÀLEZ-VAL
2012 Recent Development of the Wage and Income Distribution in the Czech Republic
by Diana Bílková
2012 Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan
by Syeda Rabab Mudakkar & Jamshed Y. Uppal
2012 Assimetria e concentração: um estudo empírico da distribuição de investimentos previstos para o Estado do Espírito Santo, 2009-2014 [Asymmetry and concentration: an empirical study of the predicted investment distribution for the state of Espírito Santo, 2009-2014]
by Matheus Albergaria de Magalhães & Victor Nunes Toscano
2012 Improving the Forecasting Power of Volatility Models
by Ahmed Bensaida
2012 An appraisal of firm size distribution: Does sample size matter?
by Segarra, Agustí & Teruel, Mercedes
2012 A maximum-entropy approach to the linear credibility formula
by Payandeh Najafabadi, Amir T. & Hatami, Hamid & Omidi Najafabadi, Maryam
2012 Self-affinity in financial asset returns
by Goddard, John & Onali, Enrico
2012 Maximum likelihood estimation of stochastic frontier models by the Fourier transform
by Tsionas, Efthymios G.
2012 A statistical equilibrium model of competitive firms
by Alfarano, Simone & Milaković, Mishael & Irle, Albrecht & Kauschke, Jonas
2011 Anwendung der Extremwerttheorie zur Quantifizierung von Marktpreisrisiken – Test der Relevanz anhand vergangener Extrembelastungen von DAX und MSCI Europe
by Michael Pohl
2011 On the diversification of portfolios of risky assets
by Frahm, Gabriel & Wiechers, Christof
2011 A new method for measuring tail exponents of firm size distributions
by Fujimoto, Shouji & Ishikawa, Atushi & Mizuno, Takayuki & Watanabe, Tsutomu
2011 Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
by Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie
2011 Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description
by Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska
2011 Black swans or dragon kings? A simple test for deviations from the power law
by Joanna Janczura & Rafal Weron
2011 Improved Maximum Likelihood Estimation of the Shape Parameter in the Nakagami Distribution
by Jacob Schwartz & Ryan T. Godwin & David E. Giles
2011 Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution
by David E. Giles & Hui Feng & Ryan T. Godwin
2011 On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution
by David E. Giles & Hui Feng & Ryan T. Godwin
2011 Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution
by Jacob Schwartz & David E. Giles
2011 Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
by Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas
2011 Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection
by Redouane Elkamhia & Denitsa Stefanova
2011 Methods for Computing Marginal Data Densities from the Gibbs Output
by Cristina Fuentes-Albero & Leonardo Melosi
2011 Generalized Beta-Generated Distributions
by Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José María Sarabia
2011 Assessing bank's default probability using the ASRF model
by Radkov, Petar & Minkova, Leda
2011 The first statement of the formula for the Normal Curve
by Cantillo, Andres
2011 Homogeneity tests for Levy processes and applications
by Ciuiu, Daniel
2011 Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index
by Dominique, C-René & Rivera-Solis, Luis Eduardo
2011 Black swans or dragon kings? A simple test for deviations from the power law
by Janczura, Joanna & Weron, Rafal
2011 Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru
by Alberto Humala & Gabriel Rodriguez
2011 Skew-normal shocks in the linear state space form DSGE model
by Grzegorz Grabek & Bohdan Klos & Grzegorz Koloch
2011 Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies
by Zorobabel Bicaba & Daniel Kapp & Francesco Molteni
2011 Viewing risk measures as information
by Dominique Guegan & Wayne Tarrant
2011 GMM Estimation of Income Distributions from Grouped Data
by Gholamreza Hajargsht & William E. Griffiths & Joseph Brice & D.S. Prasada Rao & Duangkamon Chotikapanich
2011 Time and frequency domain in the business cycle structure
by Jitka Pomenkova & Roman Marsalek
2011 Skewness and Kurtosis Properties of Income Distribution Models
by James McDonald & Patrick A. Turley & Jeff Sorensen
2011 A New Method for Measuring Tail Exponents of Firm Size Distributions
by Fujimoto, S. & Ishikawa, A. & Mizuno, T. & Watanabe, T.
2011 Models of Truncation, Sample Selection, and Limited Dependent Variables: Suggestions for a Common Language
by Biørn, Erik & R. Wangen, Knut
2011 A Ridge Regression estimator for the zero-inflated Poisson model
by Kibria, B. M. Golam & Månsson, Kristofer & Shukur, Ghazi
2011 Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
by Deschamps, Philippe J.
2011 Análisis digital y detección de elecciones atípicas en Colombia
by Álvaro Riascos & Diego Jara & Felipe Parra & Mauricio Romero
2011 Análisis digital y detección de elecciones atípicas
by Diego Jara & Felipe Parra & Alvaro Riascos & Mauricio Romero
2011 Impairment and Negative Equity in the Irish Mortgage Market
by Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran
2011 Italian open-end funds: performance of asset management companies
by Michele Leonardo Bianchi & Maria Grazia Miele
2011 Extreme value theory for finance: a survey
by Marco Rocco
2011 A new method for measuring tail exponents of firm size distributions
by Fujimoto, Shouji & Ishikawa, Atushi & Mizuno, Takayuki & Watanabe, Tsutomu
2011 Reviewing The Influence Of IT Applications Such As Implementing Online Distribution Channels In Hotel Industry
by Farkhondeh HASSANDOUST & Mehdy FARZANEH
2011 Operational Risk Modelling and Capital Adequacy – are There any Rewards in Greater Complexity?
by Anghelache, Gabriela Victoria & Cozmanca, Bogdan Octavian & Radu, Alina Nicoleta
2011 Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling
by Balaev , Alexey
2011 Modeling multivariate parametric densities of financial returns (in Russian)
by Alexey Balaev
2011 About the Measures of Skewness and Kurtosis
by Todor Kaloyanov
2011 A villamos energia áralakulásának egy új modellje
by Marossy, Zita
2011 Spatial Distribution of the Informal Economy. A Theoretical and Empirical Investigation
by Lucian Liviu Albu & Ion Ghizdeanu & Cristian Stanica
2011 Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
by Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas
2011 Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAViaR para el mercado de valores colombi
by Charle Augusto Llondoño
2011 Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
by José Renato Haas Ornelas & Marcelo Yoshio Takami
2011 Regresión del cuantil aplicada al modelo de redes neuronales artificiales
by Charle Augusto Londoño
2010 Are Services Different Exporters?
by Hans Lööf
2010 Extreme value theory as a theoretical background for power law behavior
by Alfarano, Simone & Lux, Thomas
2010 Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
by Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie
2010 How useful is the carry-over effect for short-term economic forecasting?
by Tödter, Karl-Heinz
2010 Heavy-tailed distributions in VaR calculations
by Adam Misiorek & Rafal Weron
2010 Models for Heavy-tailed Asset Returns
by Szymon Borak & Adam Misiorek & Rafal Weron
2010 Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test
by Ewa M. Syczewska
2010 Maximum likelihood estimator for the uneven power distribution: application to DJI returns
by Krzysztof Kontek
2010 Latent Variables and Propensity Score Matching
by Maciej Jakubowski
2010 The Extreme-Value Dependence Between the Chinese and Other International Stock Markets
by David E. Giles
2010 Hermite Regression Analysis of Multi-Modal Count Data
by David E. Giles
2010 A Non-Parametric Microsimulation Approach to Assess Changes in Inequality and Poverty
by Rob Vos & Marco V. Sánchez
2010 Dynamic Specification Tests for Static Factor Models
by Gabriele Fiorentini & Enrique Sentana
2010 Generalized Beta-Generated Distributions
by Carol Alexander & Jose Maria Sarabia
2010 Some stylized facts of returns in the foreign exchange and stock markets in Peru
by Humala, Alberto & Rodriguez, Gabriel
2010 Critical Values for Cointegration Tests
by James G. MacKinnon
2010 Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables
by Maximiano Pinheiro
2010 Nonstationary Extremes and the US Business Cycle
by Miguel de Carvalho & K. Feridum Turkman & António Rua
2010 The utilization of copula in hidrology
by Trandafir, Romica & Ciuiu, Daniel & Drobot, Radu
2010 Classification of competitiveness types using copula
by Mereuta, Cezar & Albu, Lucian liviu & Ciuiu, Daniel
2010 Models for Heavy-tailed Asset Returns
by Borak, Szymon & Misiorek, Adam & Weron, Rafal
2010 Stock volatility in the periods of booms and stagnations
by Kaizoji, Taisei
2010 Estimation of Peaked Densities Over the Interval [0,1] Using Two-Sided Power Distribution: Application to Lottery Experiments
by Kontek, Krzysztof
2010 Density Based Regression for Inhomogeneous Data: Application to Lottery Experiments
by Kontek, Krzysztof
2010 On the best functions to describe city size distributions
by González-Val, Rafael & Ramos, Arturo & Sanz-Gracia, Fernando
2010 Effect of cropping policy on landowner reactions towards wildlife: a case of Naivasha area, Kenya
by Mailu, Stephen & Kuloba, Bernard & Ruto, Eric & Nyangena, Wilfred
2010 Temporal changes in the parameters of statistical distribution of journal impact factor
by Mishra, SK
2010 Empirical probability distribution of journal impact factor and over-the-samples stability in its estimated parameters
by Mishra, SK
2010 A note on empirical sample distribution of journal impact factors in major discipline groups
by Mishra, SK
2010 Alpha-root Processes for Derivatives pricing
by Balakrishna, BS
2010 A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data
by Brendan P.M. McCabe & Gael Martin & Keith Freeland
2010 On the necessity of five risk measures
by Dominique Guegan & Wayne Tarrant
2010 Portfolio Management under Asymmetric Dependence and Distribution
by Stefan Hlawatsch & Peter Reichling
2010 Konstruktion und Anwendung von Copulas in der Finanzwirtschaft
by Stefan Hlawatsch & Peter Reichling
2010 Simulation and Estimation of Loss Given Default
by Stefan Hlawatsch & Sebastian Ostrowski
2010 Equity Premia and State-Dependent Risks
by Mohammed Bouaddi & Denis Larocque & Michel Normandin
2010 An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes
by Yoshihiko Sugihara & Nobuyuki Oda
2010 Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
by Nikolaus Hautsch & Peter Malec & Melanie Schienle
2010 Models for Heavy-tailed Asset Returns
by Szymon Borak & Adam Misiorek & Rafał Weron
2010 Parametric estimation of risk neutral density functions
by Maria Grith & Volker Krätschmer
2010 Equilibrium exchange rate determination and multiple structural changes
by Hyunsok Kim & Ronald MacDonald
2010 Tail Behavior of the Central European Stock Markets during the Financial Crisis
by Jozef Barunik & Lukas Vacha & Miloslav Vosvrda
2010 Benford's Law and Fraud Detection. Facts and Legends
by Andreas Diekmann & Ben Jann
2010 Stock volatility in the periods of booms and stagnations
by Taisei Kaizoji
2010 A Note on the Probability of Winning a Lottery when the Number of Competitors is a Binomial Random Variable
by Seamus Hogan & Laura Meriluoto
2010 Stochastic Dominance, Estimation and Inference for Censored Distributions with Nuisance Parameter
by Kim P. Huynh & Luke Ignaczak & Marcel-Cristian Voia
2010 Numerical distribution functions of fractional unit root and cointegration tests
by James G. MacKinnon & Morten Ørregaard Nielsen
2010 A check of Maddison’s gdp data. Benford’s Law with some range problems
by Martin Paldam
2010 On Generalized Pareto Distributions
by Mierlus Mazilu, I.
2010 Comparison of Discrete Choice Models for Economic Environmental Research
by Ondřej Vojáček & Iva Pecáková
2010 Necessity of Use and Cognition Sense of Moments of Higher Rank (Asymmetry and Excess Coefficients)
by Todor Kaloianov
2010 Financial Applications of Copula-Models
by Penikas, H.
2010 Information matrix test An application using Pareto’s original income distribution data
by Enlinson Mattos & Vladimir Ponczek
2010 Qualitative Specifics of Various Approaches to the Estimates of the RF Socio-Economic Indicators
by Marina Turuntseva & Tatiana Kiblitskaya
2010 Tail Behavior of the Central European Stock Markets during the Financial Crisis
by Jozef Baruník & Lukáš Vácha & Miloslav Vošvrda
2010 Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey
by Andrés Mauricio Mendoza Piñeros & José Alfredo Jiménez Moscoso
2009 Optimal design and p-concavity
by Christian Ewerhart
2009 Distribution of Labour Productivity in Japan over the Period 1996--2006
by Souma, Wataru & Ikeda, Yuichi & Iyetomi, Hiroshi & Fujiwara, Yoshi
2009 Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China
by Yang Ni & Shasha Guo & David E. Giles
2009 Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution
by David E. Giles & Hui Feng
2009 Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution
by David E. Giles
2009 Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
by Katja Ignatieva & Eckhard Platen
2009 Modelling the distribution of day-ahead electricity returns: a comparison
by Sandro Sapio
2009 Forecasting realized (co)variances with a block structure Wishart autoregressive model
by Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo
2009 Technical Efficiency, Specialization and Ownership Form: Evidences from a Pooling of Italian Hospitals
by Silvio Daidone & Francesco D'Amico
2009 Estimating fixed-effect panel stochastic frontier models by model transformation
by Wang, Hung-Jen & Ho, Chia-Wen
2009 Structural Changes in India's Stock Markets' Efficiency
by Sasidharan, Anand
2009 Structural Changes in India's Stock Markets' Efficiency
by Sasidharan, Anand
2009 Moments of the generalized hyperbolic distribution
by Scott, David J & Würtz, Diethelm & Dong, Christine & Tran, Thanh Tam
2009 On the Probability Distribution of Economic Growth
by Öller, L-E & Stockhammar, P
2009 Properties of distributions with increasing failure rate
by Brusset, Xavier
2009 Generalized Marginal Risk
by Keel, Simon & Ardia, David
2009 A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
by Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio
2009 Global Income Distribution and Inequality: 1993 and 2000
by Duangkamon Chotikapanich & William E Griffiths & D.S. Prasada Rao & Vicar Valencia
2009 A Generalized Asymmetric Student-T Distribution With Application To Financial Econometrics
by John Galbraith & Dongming Zhu
2009 Forecasting Expected Shortfall With A Generalized Asymmetric Student-T Distribution
by John Galbraith & Dongming Zhu
2009 Basket Options on Heterogeneous Underlying Assets
by Georges Dionne & Geneviève Gauthier & Nadia Ouertani
2009 Linking Individuals and Societies
by Jasso, Guillermina
2009 Linking Individuals and Societies
by Jasso, Guillermina
2009 Properties of Hierarchical Archimedean Copulas
by Ostap Okhrin & Yarema Okhrin & Wolfgang Schmid
2009 Uncertainty of Multiple Period Risk Measures
by Lönnbark, Carl
2009 Are Services Different Exporters?
by Lööf, Hans
2009 Dynamics of Entry and Exit of Product Varieties – what evolution dynamics can account for the empirical regularities?
by Andersson, Martin & Johansson, Börje & Månsson, Kristofer
2009 The Global-Local Interplay of MNE and Non-MNE Firms
by Johansson, Börje & Lööf, Hans
2009 Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion
by Mario Cerrato & Hyunsok Kim & Ronald MacDonald
2009 The Macroeconomic Performance of the Inflation Targeting Policy: An Approach Based on the Evolutionary Co-spectral Analysis
by Zied Ftiti
2009 Unification of the Fréchet and Weibull Distribution
by Peter ter Berg
2009 Multivariate Sarmanov Count Data Models
by Miravete, Eugenio J
2009 Understanding volatility dynamics in the EU-ETS market: lessons from the future
by SANIN, Maria Eugenia & VIOLANTE, Francesco
2009 Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution
by Dongming Zhu & John Galbraith
2009 A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics
by Dongming Zhu & John Galbraith
2009 A Nonparametric Analysis Of Canadian Employment Patterns
by Luke Ignaczak & Marcel Voia
2009 Sums and Extreme Values of Random Variables: Duality Properties
by Ralph W. Bailey
2009 Distribution of Labour Productivity in Japan over the Period 1996-2006
by Fujiwara, Yoshi & Iyetomi, Hiroshi & Ikeda, Yuichi & Souma, Wataru
2009 Seasonal Co-integration An Extension of the Johansen and Schaumburg Approach with an Exclusion Test
by Ozlem Tasseven
2009 Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution
by Necula, Ciprian
2009 The Estimation of Poverty and Inequality through Parametric Estimation of Lorenz Curves: An Evaluation
by Camelia Minoiu & Sanjay G. Reddy
2009 A Unified Approach to Economic Dominance and Inequality Measures using a General Transformation Function
by Subir Ghosh
2009 La misurazione integrata dei rischi bancari: uno studio simulativo
by Annalisa Di Clemente
2009 Modeling the Farm Distribution in Bulgaria between 1897 – 2005
by Polya Angelova
2008 A Model To Estimate Spatial Distribution Of Informal Economy
by Albu, Lucian Liviu
2008 On J.M. Keynes' The principal averages and the laws of error which lead to them: refinement and generalisation
by Klein, Ingo & Grottke, Michael
2008 A Statistical Equilibrium Model of Competitive Firms
by Irle, Albrecht & Milaković, Mishael & Alfarano, Simone & Kauschke, Jonas
2008 Does Classical Competition Explain the Statistical Features of Firm Growth?
by Alfarano, Simone & Milaković, Mishael
2008 Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
by Dinghai Xu & John Knight
2008 Urn-based models for dependent credit risks and their calibration through EM algorithm
by Riccardo Gusso & Uwe Schmock
2008 Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
by J. Isaac Miller & Joon Y. Park
2008 Value at Risk (VaR) and the alpha-stable distribution
by John C. Frain
2008 Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices
by John C. Frain
2008 Inflation expectations in the euro area: Are consumers rational?
by Francisco Craveiro Dias & Cláudia Duarte & António Rua
2008 Sociological and Economic Inequality and the Second Law
by Kafri, Oded
2008 Approximating correlated defaults
by Rosenthal, Dale W.R.
2008 Multivariate Gram-Charlier Densities
by Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier
2008 Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
by Maldonado, Diego & Pazmiño, Mariela
2008 Methods of Measuring the Students’ Results Obtained in the Teaching-Learning Process
by Serbanescu, Luminita & Bengescu, Marcela & Dumitru, Mihaela Iuliana
2008 Estimation with inequality constraints on the parameters: dealing with truncation of the sampling distribution
by Barnett, William A. & Seck, Ousmane
2008 Deviations from Zipf’s Law for American cities: an empirical examination
by Rafael, González-Val
2008 Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments
by Ibrahim Ahamada & Philippe Jolivaldt
2008 Dynamic analysis of the insurance linked securities index
by Mathieu Gatumel & Dominique Guegan
2008 A New Model of Wage Determination and Wage Inequality
by Jasso, Guillermina
2008 A New Model of Wage Determination and Wage Inequality
by Jasso, Guillermina
2008 Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors
by Grant Hillier & Raymond Kan & Xiaolu Wang
2008 Computationally efficient recursions for top-order invariant polynomials with applications
by Grant Hillier & Raymond Kan & Xiaolu Wang
2008 The Age of Turbulence - Credit Derivatives Style
by Byström, Hans
2008 Learning-by-Exporting Revisited - the role of intensity and persistence
by Andersson, Martin & Lööf, Hans
2008 Fourth order pseudo maximum likelihood methods
by Alberto Holly & Alain Montfort & Michael Rockinger
2008 3-Regime symmetric STAR modeling and exchange rate reversion
by Mario Cerrato & Hyunsok Kim & Ronald MacDonald
2008 The inflation Targeting effect on the inflation series: A New Analysis Approach of evolutionary spectral analysis
by Essahbi Essaadi & Zied Ftiti
2008 The transition period before the inflation targeting policy
by Essahbi Essaadi & Zied Ftiti
2008 A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach
by Essahbi Essaadi & Mohamed Boutahar
2008 The Determinants of Suppliers’ Performance in E-Procurement: Evidence from the Italian Government’s E-Procurement Platform
by Gian Luigi Albano & Federico Dini & Roberto Zampino & Marta Fana
2008 Firms formation and growth in the model with heterogeneous agents and monitoring
by Peter Marko & Petr Svarc
2008 Multinomial goodness-of-fit: large sample tests with survey design correction and exact tests for small samples
by Ben Jann
2008 ESeC-Rubin Missing Value Interpretation for a Regional Bottom-Up Hierarchical Forecasting
by Antonio Anselmi & Paola Maddalena Chiodini & Flavio Verrecchia
2008 A Generalized Normal Mean Variance Mixture for Return Processes in Finance
by Elisa Luciano & Patrizia Semeraro
2008 Multivariate Variance Gamma and Gaussian dependence: a study with copulas
by Elisa Luciano & Patrizia Semeraro
2008 A note on the Monte Carlo assessment of Impulse Saturation with fat tailed distribution
by Carlos Santos
2008 Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates
by Balázs Cserna
2008 On Insurer Portfolio Optimization. An Underwriting Risk Model
by Preda, Vasile & Ciumara, Roxana
2008 The Beaman Distribution: A New Descriptive Model for the Size Distribution of Incomes
by Fiona C. Maclachlan & John E. Reith
2008 Teoría de matrices aleatorias y correlación de series financieras: el caso de la Bolsa Mexicana de Valores
by Linda Margarita Medina Herrera & Ricardo Mansilla Corona
2008 Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas
by Adán Díaz Hernández & José C. Ramírez Sánchez
2008 Forecasting Market Crashes: Does Density Specification Matter?
by BRIO, Esther B. & PEROTE, Javier
2008 Firms formation and growth in the model with heterogeneous agents and monitoring
by Petr Švarc & Peter Marko
2008 A Goodness-of-Fit Test with Focus on Conditional Value at Risk
by José Santiago Fajardo Barbachan & Aquiles Rocha de Farias & José Renato Haas Ornelas
2007 Applications of extreme value theory to collateral valuation
by Garcia, Alejandro & Gencay, Ramazan
2007 Modelling dynamic portfolio risk using risk drivers of elliptical processes
by Schmidt, Rafael & Schmieder, Christian
2007 Health Care Utilization and Self-Assessed Health Specification of Bivariate Models Using Copulas
by José M. R. Murteira & Óscar D. Lourenço
2007 A Survival Analysis of the Approval of U.S. Patent Applications
by Ying Xie & David E. Giles
2007 An Application of Extreme Value Theory to U.S. Movie Box Office Returns
by Guang Bi & David E. Giles
2007 Small sample power of tests of normality when the alternative is an alpha-stable distribution
by John C. Frain
2007 Information-Theoretic Distribution Test with Application to Normality
by Thanasis Stengos & Ximing Wu†
2007 Inflation (mis)perceptions in the euro area
by Francisco Craveiro Dias & Cláudia Duarte & António Rua
2007 Practical Volatility Modeling for Financial Market Risk Management
by Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi
2007 The IGARCH e®ect: Consequences on volatility forecasting and option trading
by Stefano HERZEL & Catalin STARICA & Thomas NORD
2007 Properties and Estimation of Asymmetric Exponential Power Distribution
by ZHU, Dongming & ZINDE-WALSH, Victoria
2007 Properties And Estimation Of Asymmetric Exponential Power Distribution
by Victoria Zinde-Walsh & Dongming Zhu
2007 A Monte Carlo Study of Efficiency Estimates from Frontier Models
by William C. Horrace & Seth O. Richards
2007 A New Unified Theory of Sociobehavioral Forces
by Jasso, Guillermina
2007 A New Unified Theory of Sociobehavioral Forces
by Guillermina Jasso
2007 Inequality and the GB2 Income Distribution
by Stephen P. Jenkins
2007 Inequality and the GB2 Income Distribution
by Jenkins, Stephen P.
2007 Two Types of Inequality: Inequality Between Persons and Inequality Between Subgroups
by Jasso, Guillermina & Kotz, Samuel
2007 Two Types of Inequality: Inequality Between Persons and Inequality Between Subgroups
by Guillermina Jasso & Samuel Kotz
2007 A New Continuous Distribution and Two New Families of Distributions Based on the Exponential
by Jasso, Guillermina & Kotz, Samuel
2007 A New Continuous Distribution and Two New Families of Distributions Based on the Exponential
by Guillermina Jasso & Samuel Kotz
2007 Distribución Espacial De La Actividad Económica En La Union Europea
by José Miguel Albert & Jorge Mateu & Vicente Orts
2007 Inequality and the GB2 income distribution
by Stephen P. Jenkins
2007 Maximal uniform convergence rates in parametric estimation problems
by Walter Beckert & Daniel McFadden
2007 Some new bivariate IG and NIG-distributions for modelling covariate nancial returns
by Lillestøl, Jostein
2007 Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
by Maria S. Heracleous
2007 Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality
by W.J. Willemse & R. Kaas
2007 The Lorenz curve in economics and econometrics
by Christian Kleiber
2007 Parametric properties of semi-nonparametric distributions, with applications to option valuation
by Ángel León & Javier Mencía & Enrique Sentana
2007 GRAN8: Gauss procedure to generate standard EPD (GED) random numbers
by Urzúa, Carlos M.
2007 GRAN7: Gauss procedure to generate lognormal random numbers
by Urzúa, Carlos M.
2007 GRAN6: Gauss procedure to generate Pareto-distributed random numbers
by Urzúa, Carlos M.
2007 GRAN5: Gauss procedure to generate heteroskedastic normal random numbers
by Urzúa, Carlos M.
2007 GRAN4: Gauss procedure to generate Laplace-distributed random numbers
by Urzúa, Carlos M.
2007 GRAN3: Gauss procedure to generate stable random numbers
by Urzúa, Carlos M.
2007 GRAN2: Gauss procedure to generate t-distributed random numbers
by Urzúa, Carlos M.
2007 GRAN1: Gauss procedure to generate normal random numbers
by Urzúa, Carlos M.
2007 How much the Rounding Errors could affect the Computer Results
by Stefanescu, Stefan
2007 Análisis de los resultados Ecaes del programa de economía de la Universidad Militar Nueva Granada (2004-2006)
by LUIS EDUARDO SANDOVAL
2007(XVII) The Intensity of using production factors in Romania. Estimates from Cobb-Douglas and CES Models
by Gheorghe Zaman & Zizi Goschin
2006 Validating and Calibrating Agent-based Models: a Case Study
by Pasquale Cirillo & Carlo Bianchi & Mauro Gallegati & Pietro Vagliasindi
2006 Information-Theoretic Distribution Test with Application to Normality
by Thanasis Stengos & Ximing Wu
2006 Araştırma-geliştirme (AR-GE) faaliyetlerinin Türkiye-OECD ülkelerinde kümeleme analizi ile incelenmesi ve ekonomik büyümedeki önemi
by Mevlüdiye ŞİMŞEK & Sema BEHDİOĞLU
2006 Simulation techniques for generalized Gaussian densities
by Martina Nardon & Paolo Pianca
2006 The Exact Asymptotic Distribution Function of Watson's UN-Squared for Testing Goodness-of-Fit With Circular Discrete Data
by David E. A. Giles
2006 Accounting for Achievement in Athens: A Count Data Analysis of National Olympic Performance
by Glen Roberts
2006 Tail Probabilities for Regression Estimators
by Thomas Mikosch & Casper G. de Vries
2006 Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve
by Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle
2006 Uniform Convergence Rate of the SNP Density Estimator and Testing for Similarity of Two Unknown Densities
by Kyoo il Kim
2006 The art of fitting financial time series with Levy stable distributions
by Scalas, Enrico & Kim, Kyungsik
2006 Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets
by Bassler, Kevin E. & McCauley, Joseph L. & Gunaratne, Gemunu H.
2006 Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
by Idrovo Aguirre, Byron
2006 Robust volatility forecasts and model selection in financial time series
by L. Grossi & G. Morelli
2006 Identifying Technically Efficient Fishing Vessels: A Non-Empty, Minimal Subset Approach
by Alfonso Flores-Lagunes & William C. Horrace & Kurt E. Schnier
2006 Heterogeneous Basket Options Pricing Using Analytical Approximations
by Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani
2006 Changes in poverty and the stability of income distribution in Argentina: evidence from the 1990s via decompositions
by Florencia Lopez Boo
2006 The Uniqueness of Extremum Estimation
by Volker Krätschmer
2006 GHICA - Risk Analysis with GH Distributions and Independent Components
by Ying Chen & Wolfgang Härdle & Vladimir Spokoiny
2006 When did the 2001 recession really start?
by Jörg Polzehl & Vladimir Spokoiny & Catalin Starica
2006 Economic Growth of Agglomerations and Geographic Concentration of Industries – Evidence for Germany
by Kurt Geppert & Martin Gornig & Axel Werwatz
2006 Prospect Theory and Higher Moments
by Ågren, Martin
2006 CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
by Simon A. BRODA & Marc S. PAOLELLA
2006 An Econometric Analysis of Emission Trading Allowances
by Marc S. Paoletta & Luca Taschini
2006 Gauss procedure to compute the LMZ test for Zipf's law
by Urzúa, Carlos M.
2006 Gauss procedure to compute the ALMP test for multivariate normality
by Urzúa, Carlos M.
2006 Gauss procedure to compute the ALM test for normality
by Urzúa, Carlos M.
2006 On Composite Models: Weibull-Pareto and Lognormal-Pareto. - A comparative study -
by Preda, Vasile & Ciumara, Roxana
2006 Modeling Dependent Credit Risks for Application to Off-Site Banking Supervision
by Evgenia Glogova & Richard Warnung
2006 The Impact Of Corruption On National Competitiveness
by Mihaela Herciu
2006 Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional
by Erik Alencar de Figueirêdo
2005 Marriage and Money: Variations across the Earnings Distribution
by Mark Western & Belinda Hewitt
2005 Modeling and predicting market risk with Laplace-Gaussian mixture distributions
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S.
2005 Heavy tails and electricity prices
by Rafal Weron
2005 Modeling catastrophe claims with left-truncated severity distributions (extended version)
by Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron
2005 The Bias of Inequality Measures in Very Small Samples: Some Analytic Results
by David E. Giles
2005 Survival of the Hippest: Life at the Top of the Hot 100
by David E. Giles
2005 Benford’s Law and Naturally Occurring Prices in Certain ebaY Auctions
by David E. Giles
2005 Testing for a Unit Root against Transitional Autoregressive Models
by Joon Y. Park & Mototsugu Shintani
2005 Two-class structure of the personal income distribution in the USA in 1983-2001
by A. C. Silva & V. M. Yakovenko
2005 Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
by Cakir, Murat
2005 Convergence réelle et convergence nominale dans les Pays de la région MENA
by REY, Serge
2005 Small Concentration Asymptotics and Instrumental Variables Inference
by D. S. Poskitt & C. L. Skeels
2005 Estimating and Combining National Income Distributions using Limited Data
by Duangkamon Chotikapanich & William E. Griffiths & D.S. Prasada Rao
2005 Sensitivity of Propensity Score Methods to the Specifications
by Zhong Zhao
2005 Sensitivity of Propensity Score Methods to the Specifications
by Zhao, Zhong
2005 Using the results of qualitative surveys in quantitative analysis
by Enrico D’Elia
2005 Maximal uniform convergence rates in parametric estimation problems
by Walter Beckert & Daniel McFadden
2005 Stable Distributions
by Szymon Borak & Wolfgang Härdle & Rafal Weron
2005 Modeling Conditional Skewness in Stock Returns
by Markku Lanne & Pentti Saikkonen
2005 Firm'investment forecast: An indicator of changes in expectations in industrial investment survey
by N. FERRARI
2005 Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation
by León, Ángel & Mencía, Javier & Sentana, Enrique
2005 Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices
by Sancetta, A. & Nikanrova, A.
2005 Random Walks in the Economic Dynamic Series
by Asmaa Ahmed
2004 Speculative option valuation: A supercomputing approach
by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano
2004 A double-auction artificial market with time-irregularly spaced orders
by Enrico Scalas & Silvano Cincotti
2004 Multivariate Hypernormal Densities
by Andreas Gottschling & Christian Haefke
2004 Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
by Joon Y. Park & J. Isaac Miller
2004 Applied Computational Economics and Finance
by Mario J. Miranda & Paul L. Fackler
2004 The Hidden Risks of Optimizing Bond Portfolios under VaR
by Winker, Peter & Maringer, Dietmar
2004 Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients
by Agnieszka Wylomanska
2004 Pure risk premiums under deductibles. A quantitative management in actuarial practice
by Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron
2004 Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach
by Lauren Bin Dong
2004 The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach
by Lauren Bin Dong
2004 No, Virginia, There Isn't a Santa Claus (For Most Countries' Growth Cycles)
by David E. A. Giles
2004 An Empirical Likelihood Ratio Test for Normality in Linear Regression
by Lauren Bin Dong & David E. A. Giles
2004 Complex Network Phenomena in Telecommunication Systems
by Laura A. Schintler & Sean P. Gorman & Aura Reggiani & Roberto Patuelli & Andy Gillespie & Peter Nijkamp & Jonathan Rutherford
2004 Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions
by Paola Palmitesta & Corrado Provasi
2004 Density Estimation and Combination under Model Ambiguity
by Stefania D'Amico
2004 Stochastic Local Volatility
by Carol Alexander & Leonardo Nogueira
2004 Hedging with Stochastic and Local Volatility
by Carol Alexander & Leonardo M. Nogueira
2004 Nonlinearly testing for a unit root in the presence of a break in the mean
by Gluschenko, Konstantin
2004 Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small
by D. S. Poskitt & C. L. Skeels
2004 Testing for Dependence in Non-Gaussian Time Series Data
by B.P.M. McCabe & G.M. Martin & R.K. Freeland
2004 Nonparametric Risk Management with Generalized Hyperbolic Distributions
by Ying Chen & Wolfgang Härdle & Seok-Oh Jeong
2004 The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
by Villani, Mattias & Larsson, Rolf
2004 Omega Portfolio Construction with Johnson Distributions
by Alexander Passow
2004 Credit Risk in a Network Economy
by Henry Schellhorn & Didier Cossin
2004 Forecasting the density of asset returns
by Trino-Manuel Niguez & Javier Perote
2004 Zipf's law for cities: a cross country investigation
by Kwok Tong Soo
2004 Statistical Models for High Frequency Security Prices
by Roel C.A. Oomen
2004 A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
by Pentti Saikkonen & Markku Lanne
2004 Asymmetric Power Distribution: Theory and Applications to Risk Measurement
by Ivana Komunjer
2004 On weak exogeneity of the student's t and elliptical linear regression models
by Jiro Hodoshima
2004 Testing for Dependence in Non-Gaussian Time Series Data
by Keith Freeland & Brendan McCabe & Gael Martin
2004 Estimating and Combining National Income Distributions using Limited Data
by D.S. Prasada Rao & Duangkamon Chotikapanich & William E. Griffiths
2004 Forecasting the density of asset returns
by Trino-Manuel Niguez & Javier Perote
2004 Zipfs Law for Cities: A Cross Country Investigation
by Kwok Tong Soo
2004 Maximal Uniform Convergence Rates in Parametric Estimation Problems
by Walter Beckert & Daniel McFadden
2004 Curva di Pareto e distribuzione della ricchezza in Costantino Bresciani Turroni
by Terenzio Maccabelli
2004 Revenues, Profitability, and Returns: Clinical Analysis of the Market for Mobster Films
by W. David Walls
2004 Modeling the distribution of exchange rate time series and measuring the tail area: an empirical application of the colombian flexible exchange rate
by Héctor Manuel Zarate
2003 Testing stationarity of AR(1) process with symmetric stable disturbance
by Michal Greszta
2003 Fair Pricing of Weather Derivatives
by Eckhard Platen & Jason West
2003 Bivariate Normal Mixture Spread Option Valuation
by Carol Alexandra & Andrew Scourse
2003 Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms
by David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin
2003 Implicit Bayesian Inference Using Option Prices
by Gael M. Martin & Catherine S. Forbes & Vance L. Martin
2003 Testing for unit roots in panels by using a mixture model
by Edith Madsen
2003 Significant Feedbacks in Firm Growth and Market Structure
by Paul A Kattuman & Alexandru Chirmiciu
2003 A Loss Aversion Performance Measure
by Farah, N. & Satchell, S.E.
2003 Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses
by Sancetta, A. & Satchell, S.E.
2003 Employing Extended Kalman Filter in a Simple Macroeconomic Model
by Levent Ozbek & Umit Ozlale & Fikri Ozturk
2003 Zdokonalené uživatelské signální odhady čtvrtletních změn hrubého domácího produktu České republiky
by Jaroslav Jílek & Miloš Vojta
2003 Ajuste y proyección de las tablas input-output en condiciones de coherencia estructural mediante optimización matemática
by Miguel Angel Tarancón Morán
2002 Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach
by Rafal Weron
2002 Modeling electricity loads in California: ARMA models with hyperbolic noise
by Joanna Nowicka-Zagrajek & Rafal Weron
2002 Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model
by Carol Alexander
2002 Heteroscedasticity and non-monotonic efficiency effects of a stochastic frontier model
by Wang, Hung-Jen
2002 Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory
by D.S. Poskitt & C.L. Skeels
2002 Análisis comparativo de la desigualdad a partir de una batería de indicadores. El caso de las Comunidades Autónomas españolas en el período 1973-1991
by GARCÍA PÉREZ, C & NÚÑEZ VELÁZQUEZ, J.J. & C. RIVERA GALICIA, L.F. & ZAMORA SANZ, A.I.
2001 Dependence structure of stable R-GARCH processes
by Joanna Nowicka-Zagrajek & Aleksander Weron
2001 A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation
by Daniel A. Ackerberg
2001 El orden de Lorenz generalizado de orden j, ¿un orden en desigualdad?
by RAMOS ROMERO, H.M. & SORDO DÍAZ, M.A.
2001 Rankings de distribuciones de renta basados en curvas de Lorenz ordenadas: un estudio empírico1
by SARABIA ALEGRÍA, J.M & PASCUAL SÁEZ, MARTA
2001 Incidencia de la ocultación de ingresos de la EPF sobre los niveles regionales de desigualdad relativa y bienestar-renta
by TROITIÑO COBAS, A.
2001 Un análisis de la desigualdad de la renta entre las provincias andaluzas, a partir de los datos de la E.B.P.F. y de renta corregidos (1990-91), utilizando estimaciones de combinaciones lineales convexas de curvas de Lorenz
by HERRERÍAS PLEGUEZUELO, R. & GARCÍA FERNÁNDEZ, R. Mª
2001 Formación de hogar y situación en el mercado laboral: un análisis para los jóvenes adultos en España
by COLOM ANDRÉS, Mª C & MARTÍNEZ VERDÚ, R. & MOLÉS MACHÍ, Mª C.
2000 Una revisión de los sistemas generadores y modelos de probabilidad descriptivos de la distribución de la Renta
by ESTEBAN GARCÍA, J. & LÓPEZ RODRÍGUEZ, M.I.. & RUIZ PONCE, F.
2000 Repercusiones de la ocultación de renta sobre la medición de la desigualdad
by PRIETO ALAIZ, M. & PENA TRAPERO, B.
1999 Severe Loss Probabilities in Portfolio Credit Risk Models
by Babbs, Simon H & Johnson, Andrew E
1998 Scaling in currency exchange: A Conditionally Exponential Decay approach
by Szymon Mercik & Rafal Weron
1998 Origins of the scaling behaviour in the dynamics of financial data
by Aleksander Weron & Szymon Mercik & Rafal Weron
1998 El método de subasta como complemento al PERT clásico
by GARCÍA PÉREZ, J.
1997 Spectral representation and structure of self-similar processes
by Krzysztof Burnecki & Jan Rosinski & Aleksander Weron
1997 The Lamperti transformation for self-similar processes
by Krzysztof Burnecki & Makoto Maejima & Aleksander Weron
1997 Evolution in a changing environment
by Katarzyna Sznajd-Weron & Rafal Weron
1997 Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors
by Mariam, Yohannes & Barre, Mike & Urquhart, Lynda & DeCivita, Paul
1996 Approximation of stochastic differential equations driven by alpha-stable Levy motion
by Aleksander Janicki & Zbigniew Michna & Aleksander Weron
1996 Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables"
by Rafal Weron
1996 Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"
by Weron, Rafal
1996 Time-Consistent Solutions to the Stochastic Dynamic Strategic Export Subsidy Problem
by Gatsios, Konstantine & Kollintzas, Tryphon
1995 Intermediate Statistics and Econometrics: A Comparative Approach
by Dale J. Poirier
1995 Performance of the estimators of stable law parameters
by Rafal Weron
1995 The transfer of statistical equilibrium from physics to economics
by Parrinello, Sergio & Fujimoto, Takao
1995 Leyes financieras procedentes de funciones de distribución que se concentran a la izquierda o a la derecha
by Salvador Cruz Rambaud
1994 Changing Wage Structure and Black-White Wage Differentials: A Longitudinal Analysis
by David Card & Thomas Lemieux
1994 Un modelo de reemplazamiento para un sistema sujeto a shoks poissonianos
by Alfredo García Güemes
1991 La quantificazione dei risultati dei sondaggi congiunturali: un confronto tra procedure
by D'Elia, Enrico
1990 Critical Values for Cointegration Tests
by James G. MacKinnon
1989 Het gebruik van een parametrische en een semi-parametrische schattingsmethode voor het binaire keuzemodel: Probit Maximum Likelihood versus Maximum Score
by Peeters, H.M.M.
1988 A Class of Maximum-Entropy Multivariate Distributions
by Urzúa, Carlos M.
The continuous time random walk formalism in financial markets
by Jaume Masoliver & Miquel Montero & Josep Perello
Social and Economic Impact of Disasters: Estimating the Threshold between Low and High Levels of Risk
by Clovis Freire
Bayesian Spatial Modeling of Housing Prices Subject to a Localized Externality
by Mark D. Ecker & Victor De Oliveira
Stable Mixture GARCH Models
by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE
Fourth Order Pseudo Maximum Likelihood Methods
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER
