Financial Risk and Volatility Modeling

Работ: 62

Comparison Results for GARCH Processes
Fabio Bellini, Franco Pellerey, Carlo Sgarra +1
ПрепринтFinancial Risk and Volatility ModelingJournal of Applied Probability2012Цитирований: 0
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Emerging markets and heavy tails
Marat Ibragimov, Rustam Ibragimov, Paul Kattuman
СтатьяFinancial Risk and Volatility ModelingJournal of Banking & Finance2013Цитирований: 0
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Pricing Multivariate Barrier Reverse Convertibles with Factor-Based Subordinators
Marina Marena, Andrea Romeo, Patrizia Semeraro
ПрепринтComplex Systems and Time Series AnalysisRePEc: Research Papers in Economics2015Цитирований: 0
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Bootstrap for U-Statistics: A new approach
Olimjon Sh. Sharipov, Johannes Tewes, Martin Wendler
ПрепринтStatistical Methods and InferencearXiv (Cornell University)2015Цитирований: 0
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Bootstrap for<i>U</i>-statistics: a new approach
Sh. Olimjon Sharipov, Johannes Tewes, Martin Wendler
СтатьяFinancial Risk and Volatility ModelingJournal of nonparametric statistics2016Цитирований: 0
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Sequential block bootstrap in a Hilbert space with application to change point analysis
Olimjon Sh. Sharipov, Johannes Tewes, Martin Wendler
ПрепринтStatistical Methods and InferenceCanadian Journal of Statistics2016Цитирований: 0
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Portfolio Diversification Benefits at Different Investment Horizons During the Arab Uprisings: Turkish Perspectives Based on MGARCH–DCC and Wavelet Approaches
Abdul Aziz Buriev, Ginanjar Dewandaru, Mohd-Pisal Zainal +1
СтатьяMarket Dynamics and VolatilityEmerging Markets Finance and Trade2017Цитирований: 0
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Empirical Bayesian Estimation in the Model of Competing Risks
A. A. Abdushukurov, Azamat Muminov
СтатьяBayesian Methods and Mixture ModelsJournal of Mathematical Sciences2017Цитирований: 0
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Monte Carlo method for the calculation the price of multi-asset options
Abdujabar Rasulov, Matyakub T. Bakoyev, Makhmadrasul Y. Rahmatov
СтатьяStochastic processes and financial applicationsAIP conference proceedings2018Цитирований: 0
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Records for time-dependent stationary Gaussian sequences
Michael Falk, Amir Khorrami Chokami, Simone A. Padoan
СтатьяFinancial Risk and Volatility ModelingJournal of Applied Probability2020Цитирований: 0
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On non-linear dependence of multivariate subordinated Lévy processes
Elvira Di Nardo, Marina Marena, Patrizia Semeraro
ПрепринтFinancial Risk and Volatility ModelingStatistics & Probability Letters2020Цитирований: 0
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Monte Carlo methods for pricing weather derivatives
Abdujabar Rasulov, Gulnora Raimova
СтатьяStochastic processes and financial applicationsAIP conference proceedings2021Цитирований: 0
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Central limit theorem for random fields with values in Hilbert space under Hannan’s condition
Olimjon Sh. Sharipov, Dilnura Ruzieva
СтатьяProbability and Risk ModelsAIP conference proceedings2021Цитирований: 0
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Scaling and memory in seismological phenomena
Sumiyoshi Abe, Norikazu Suzuki
СтатьяComplex Systems and Time Series AnalysisActa Geophysica2023Цитирований: 0
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Asymptotical properties of the estimator of two-dimensional distributions from stationary sequences of positively quadrant dependent random variables
Abdurakhman Muhamedov
СтатьяProbability and Risk ModelsAIP conference proceedings2023Цитирований: 0
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Strong consistency of density function estimates from stationary sequences of linearly positive quadrant dependent random variables
Abdurahman Muhamedov
СтатьяProbability and Risk ModelsAIP conference proceedings2023Цитирований: 0
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Generalized method of moments in time series estimation
Guzal Saydillayevna Abdujalilova
СтатьяStatistical and numerical algorithmsAIP conference proceedings2023Цитирований: 0
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On Limit Theorems for Functional Autoregressive Processes with Random Coefficients
Sadillo Sharipov
СтатьяProbability and Risk ModelsLobachevskii Journal of Mathematics2023Цитирований: 0
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Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations
Bilal Ahmed Memon, Faheem Aslam, Hafiz Muhammad Naveed +2
СтатьяComplex Systems and Time Series AnalysisEconomies2024Цитирований: 0
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Interplay of multifractal dynamics between shadow policy rates and energy markets
Faheem Aslam, Ahmed Imran Hunjra, Bilal Ahmed Memon +1
СтатьяComplex Systems and Time Series AnalysisThe North American Journal of Economics and Finance2024Цитирований: 0
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Dubovsky’s Class of Mathematical Models for Describing Economic Cycles with Heredity Effects
Danil Makarov, Roman Parovik, Zafar Rakhmonov
СтатьяComplex Systems and Time Series AnalysisFractal and Fractional2024Цитирований: 0
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The Kubo Line Shape and the q-Gaussian Tsallis Function
Amelia Carolina Sparavigna
СтатьяStatistical Mechanics and EntropySSRN Electronic Journal2024Цитирований: 0
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Convergence test statistic of kernel estimators of a density function from stationary sequence of strongly linearly positive quadrant dependent random variables
Abdurakhman Muhamedov
СтатьяProbability and Risk ModelsAIP conference proceedings2024Цитирований: 0
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Application of semiclassical approximation to stochastic differential equations
Victor Malyutin, B. O. Nurjanov
СтатьяStochastic processes and financial applicationsMonte Carlo Methods and Applications2024Цитирований: 0
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An examination of the effects of the global financial crisis on the stock markets of BRICS countries
Anvar Absamatov, Askar Absamatov
СтатьяFinancial Risk and Volatility ModelingAIP conference proceedings2024Цитирований: 0
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