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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:
  1. SOEP based publications

Most recent items first, undated at the end.
  • 2015 The effect of income on democracy revisited: A flexible distributional approach
    by Idzalika, Rajius & Kneib, Thomas & Martinez-Zarzoso, Inmaculada

  • 2015 Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR
    by Federico Maglione

  • 2015 GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances
    by Vijverberg, Wim P. & Hasebe, Takuya

  • 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 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 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 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 On GMM estimation of distributions from grouped data
    by Griffiths, William & Hajargasht, Gholamreza

  • 2014 Option pricing with a dynamic fat-tailed model
    by Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas

  • 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 Gibrat's law redux: Think profitability instead of growth
    by Philipp Mundt & Mishael Milakovic & Simone Alfarano

  • 2014 The inflation Targeting effect on the inflation series: A New Analysis Approach of evolutionary spectral analysis
    by Zied Ftiti & Essahbi Essaadi

  • 2014 Kappa Performance Measures with Johnson Distributions
    by Naceur Naguez & Jean-Luc Prigent

  • 2014 Modelling Inflation Shifts and Persistence in Tunisia: Perspective from an Evolutionary spectral approach
    by Zied Ftiti & Duc Khuong Nguyen & Khaled Guesmi & Frédéric Teulon

  • 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 Option Pricing with a Dynamic Fat-Tailed Model
    by Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas

  • 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 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 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 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 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 Regresión del cuantil aplicada al modelo de redes neuronales artificiales
    by Charle Augusto Londoño

  • 2010 Are Services Different Exporters?
    by Hans Lööf

  • 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 Extreme Value Theory as a Theoretical Background for Power Law Behavior
    by Simone Alfarano & Thomas Lux

  • 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 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 The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects
    by Ané, Thierry & Métais, Carole

  • 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 Fr�chet 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 Dynamic Specification Tests For Static Factor Models
    by Gabriele Fiorentini & Enrique Sentana

  • 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 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 The Econometrics Of Mean-Variance Efficiency Tests: A Survey
    by Enrique Sentana

  • 2008 A Comparison Of Mean-Variance Efficiency Tests
    by Enrique Sentana & Dante Amegual

  • 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

  • 2007 Statistique appliquée à la Gestion (8e éd.)
    by Giard, Vincent

  • 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 We derive general distribution tests based on the method of Maximum Entropy density
    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 Macroeconomic fluctuations and the firms' rate of growth distribution: evidence from UK and US quoted companies
    by Emiliano Santoro

  • 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 Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation
    by Ángel León & Javier Mencía & Enrique Sentana

  • 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 Dependance Structure and Risk Measure
    by Kharoubi, Cécile & Ané, Thierry

  • 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 Enhanced user flash estimates of quarter - on-quarter changes in gross domestic product of the Czech Republic at constant prices
    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

  • This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.