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19 research outputs found
Forecasting the Pricing Kernel of IBNR Claims Development in Property-Casualty Insurance
Author
A D Wilkie
C K�ppelberg
+28 more
De Jong
E Kremer
E T Bardis
G C Taylor
G E P Box
G Taylor
Godfrey Cadogan
H Behncke
I I Gikhman
J Calandro
J R Graham
J Y Campbell
K K Nelson
L S Ward
M R Shapland
N Shephard
P J Brockwell
R Davidson
R Durrett
R Engle
R F Engle
R F Engle
R J Verrall
T Bollerslev
T C Mills
T Mack
T S Wright
W H Beaver
Publication venue
'Elsevier BV'
Publication date
01/01/2010
Field of study
Full text link
Crossref
Volatility and Variance Swap for the Cogarch(1,1) Model
Author
A Javaheri
A Swishchuk
+20 more
A Swishchuk
Anatoliy V. Swishchuk
C Kl�ppelberg
C Kl�ppelberg
D Applebaum
D B Nelson
F C Drost
J Kallsen
J.-C Duan
K Demeterfi
L De Haan
O Brockhaus
O E Barndorff-Nielsen
P Brockwell
S Haug
S Haug
T Bollerslev
V V Anh
W Schoutens
Y Kazmerchuk
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref
General Multivariate Dependence Using Associated Copulas
Author
A K Gupta
A K Nikoloulopoulos
+28 more
A K Nikoloulopoulos
A Mcneil
A Sklar
B Abdous
C Kl�ppelberg
C Kl�ppelberg
D Kelker
E A Valdez
H B Fang
H Joe
H Joe
H Joe
H Joe
K T Fang
M Fr�chet
M.-H Zhang
P Embrechts
P Embrechts
P Embrechts
P Embrechts
P Georges
R B Nelsen
S Das Gupta
S Demarta
T Mikosch
X Huang
Yuri Salazar
Z Landsman
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
The Cogarch: A Review, with News on Option Pricing and Statistical Inference
Author
A Linder
A Linder
+52 more
A Lindner
A Szimayer
A Szimayer
Alexander Szimayer
C Kl�ppelberg
C Kl�ppelberg
C M Goldie
C M Goldie
C. Klüppelberg
D B Madan
D B Madan
D B Madan
D B Nelson
E Fama
E Platen
Eberlein
F Black
F Coquet
F Delbaen
G M�ller
G M�ller
G Panayotov
H F�llmer
H Kesten
H Markowitz
J C Duan
J Kallsen
J Kallsen
J L Doob
J M Harrison
J M Harrison
K Sato
K.-I Sato
L D Brown
O A Dickey
O E Barndorff-Nielsen
P Diaconis
P J Brockwell
R A Maller
R B Durand
R F Engle
R Stelzer
Ross Maller
S Haug
S J Taylor
T Bollerslev
T Mikosch
V Corradi
V Fasen
V Todorov
W Vervaat
Y Wang
Publication venue
'Elsevier BV'
Publication date
01/01/2010
Field of study
No full text
Crossref
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Author
A Tikhonov
B Van Es
+24 more
C Kl�ppelberg
C Mancini
F Black
F Comte
George E. Tauchen
J Fan
J Jacod
J Jacod
K Sato
O Barndorff-Nielsen
O Barndorff-Nielsen
O Barndorff-Nielsen
P Mykland
Prakasa Rao
R Koenker
T Andersen
T Bollerslev
T G Andersen
V Kryzhniy
V Kryzhniy
V Todorov
V Todorov
Viktor Todorov
W Feller
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Empirical Characteristic Function in Time Series Estimation
Author
A Feuerverger
A Feuerverger
+54 more
A Gel&apos
A S Paulson
C Kl�ppelberg
C Kl�ppelberg
C R Heathcote
D Duffie
D M Titterington
Donald W Andrews
E Ghysels
E Lukacs
E Parzen
G E Box
G Samorodnitsky
H K�nsch
H White
I H Sloan
In Adler
J D Hamilton
J H Mcculloch
J L Knight
J L Knight
J L Knight
J M Chambers
J Nolan
J Nolan
John L. Knight
Jun Yu
Jun Yu
K J Singleton
L P Hansen
M Arato
M Calder
M I Gordin
M J D Powell
P C B Phillips
P Embrechts
P Hall
P Huber
P J Brockwell
P Schmidt
P Whittle
R A Davis
R A Davis
R J Adler
S Cs�rg? O
T Amemiya
T Mikosch
T W Epps
T W Epps
W F Stout
W H Press
W K Newey
W K Newey
Y Hong
Publication venue
'Elsevier BV'
Publication date
01/01/2001
Field of study
No full text
Crossref
Pricing Electricity Derivatives under Future Information
Author
?
A Cartea
+28 more
B Hambly
B �ksendal
C Kl�ppelberg
D Applebaum
E Eberlein
F Benth
F Benth
F Benth
F Benth
F Benth
F Benth
F Biagini
F Biagini
G Di Nunno
G Di Nunno
J Hinz
J Lucia
K Sato
M Barlow
M Hess
M Hess
Markus Hess
P Protter
P Protter
S Lang
T Gamelin
T Meyer-Brandis
W Kluge
Publication venue
'Elsevier BV'
Publication date
01/01/2012
Field of study
No full text
Crossref
Optimal Liquidation of Electricity Futures Portfolios: An Anticipative Market Impact Model
Author
A Cartea
A Schied
+28 more
A Schied
B Hambly
C Kl�ppelberg
E Eberlein
F Benth
F Benth
F Benth
F Benth
F Biagini
F Biagini
G Di Nunno
G Di Nunno
J Gatheral
J Gatheral
J Gatheral
J Hinz
J Jacod
K Sato
M Barlow
M Hess
M Hess
M Hess
Markus Hess
P Protter
R Cont
S Ankirchner
T Meyer-Brandis
U Cetin
Publication venue
'Elsevier BV'
Publication date
01/01/2013
Field of study
No full text
Crossref
Electricity Price Modeling with Stochastic Time Change
Author
A Cartea
A E D Veraart
+30 more
C A Ball
C Kl�ppelberg
F E Benth
H Geman
I Karatzas
J Jacod
J Kallsen
J.-P Fouque
K Burnecki
L Clewlow
L Li
M Bessec
M Lorig
Maren Diane Schmeck
O E Barndorff-Nielsen
O E Barndorff-Nielsen
P Carr
P Carr
P K Clark
P Paraschiv
R Cont
R Huisman
R Liptser
R Velasco-Fuentes
R Weron
S Borovkova
Svetlana Borovkova
T An�
T Meyer-Brandis
Y A�?ta�?t-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation
Author
B Andrews
C Kl�ppelberg
+29 more
D Lepingle
D Revuz
George E. Tauchen
J Jacod
J Jacod
J Jacod
J Jacod
J Rosi�nskirosi�nski
J Woerner
J Woerner
J Woerner
K Sato
L Zhang
N Bingham
O Barndorff-Nielsen
O Barndorff-Nielsen
O Barndorff-Nielsen
O Barndorff-Nielsen
P Billingsley
P Carr
P Carr
R Blumenthal
V Todorov
V Todorov
V Zolotarev
Viktor Todorov
W Feller
Y Ait-Sahalia
Y Ait-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2010
Field of study
No full text
Crossref
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