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standard deviation

Overview page. Subjects: Science and Mathematics.

A measure of the dispersion of data in statistics. For a set of values a 1, a 2, a 3, … an , the mean m is given by (a 1 + anull...

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Not up to Standard: Stress Testing Market Designs for Misbehavior

Gary E. Bolton.

in The Handbook of Market Design

September 2013; p ublished online January 2014 .

Chapter. Subjects: Financial Markets. 4955 words.

The complexities of human objectives and judgment can challenge a market’s resilience. The theories of strategic behaviour that guard against gaming make strong assumptions about the...

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Conditioning Information and Variance Bounds on Pricing Kernels

Geert Bekaert and Jun Liu.

in The Review of Financial Studies

April 2004; p ublished online April 2004 .

Journal Article. Subjects: Financial Markets. 13516 words.

Gallant, Hansen, and Tauchen (1990) show how to use conditioning information optimally to construct a sharper unconditional variance bound (the GHT bound) on pricing kernels. The literature...

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Insecuritization

Kent Osband.

in Pandora's Risk

December 2014; p ublished online November 2015 .

Chapter. Subjects: Financial Markets. 4556 words.

This chapter presents various statistical frauds in marketing. In Moody's Binomial Expansion Technique (BET), the simplest mixing distribution puts all its weight on a single default risk....

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Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test

Zhidong Bai, Yongchang Hui, Wing-Keung Wong and Ričardas Zitikis.

in Journal of Financial Econometrics

September 2012; p ublished online March 2012 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical Economics. 8986 words.

We propose and develop mean-variance-ratio (MVR) statistics for comparing the performance of prospects (e.g., investment portfolios, assets, etc.) after the effect of the background risk...

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American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution

Lars Stentoft.

in Journal of Financial Econometrics

January 2008; p ublished online September 2008 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical Economics. 15373 words.

In this paper we propose a feasible way to price American options in a model with time-varying volatility and conditional skewness and leptokurtosis, using GARCH processes and the Normal...

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Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference

Oliver Linton and Ruochen Wu.

in Journal of Financial Econometrics

March 2016; p ublished online May 2015 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical Economics. 1536 words.

The paper of Gallant discussed the practicability of Bayesian inference under distributional assertions on the moment functions. It concluded that such inference is possible with a proper...

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Innovation after the revolution: foreign sovereign bond contracts since 2003

Anna Gelpern and Mitu Gulati.

in Capital Markets Law Journal

January 2009; p ublished online November 2008 .

Journal Article. Subjects: Financial Law; Capital Markets. 9611 words.

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Risk-mispricing of structured products under New York law

Philippe Selendy.

in Capital Markets Law Journal

January 2010; p ublished online December 2009 .

Journal Article. Subjects: Financial Law; Capital Markets. 6745 words.

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More than a matter of trust: the German Debt Securities Act 2009 in international perspective

Jason Grant Allen.

in Capital Markets Law Journal

January 2012; p ublished online December 2011 .

Journal Article. Subjects: Financial Law; Capital Markets. 18439 words.

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Regulating Credit Rating Agencies: the new US and EU law—important steps or much ado about nothing?

Thomas M. J. Möllers.

in Capital Markets Law Journal

October 2009; p ublished online August 2009 .

Journal Article. Subjects: Financial Law; Capital Markets. 13995 words.

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Promoting risk mitigation, not migration: a comparative analysis of shadow banking reforms by the FSB, USA and EU

Edward F. Greene and Elizabeth L. Broomfield.

in Capital Markets Law Journal

January 2013; p ublished online January 2013 .

Journal Article. Subjects: Financial Law; Capital Markets. 23752 words.

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From ISDA to NAFMII: insolvency stalemate and PRC bankruptcy jurisprudence

Kingsley T. W. Ong and Mark W. H. Hsiao.

in Capital Markets Law Journal

January 2013; p ublished online December 2012 .

Journal Article. Subjects: Financial Law; Capital Markets. 5630 words.

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The evolution of regulatory enforcement action in the UK capital markets: a case of ‘less is more’?

Iain MacNeil.

in Capital Markets Law Journal

October 2007; p ublished online October 2007 .

Journal Article. Subjects: Financial Law; Capital Markets. 13715 words.

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Pricing terms in sovereign debt contracts: a Greek case study with implications for the European crisis resolution mechanism

Stephen J. Choi, Mitu Gulati and Eric A. Posner.

in Capital Markets Law Journal

April 2011; p ublished online March 2011 .

Journal Article. Subjects: Financial Law; Capital Markets. 12700 words.

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Disclosure practices under the EU Prospectus Directive and the role of CESR

Jan Paul Franx.

in Capital Markets Law Journal

July 2007; p ublished online June 2007 .

Journal Article. Subjects: Financial Law; Capital Markets. 5428 words.

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Capital controls and the resolution of failed cross-border banks: the case of Iceland

Fridrik M. Baldursson and Richard Portes.

in Capital Markets Law Journal

January 2014; p ublished online December 2013 .

Journal Article. Subjects: Financial Law; Capital Markets. 8255 words.

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The regulation of proxy advisors

Lars Klöhn and Philip Schwarz.

in Capital Markets Law Journal

January 2013; p ublished online December 2012 .

Journal Article. Subjects: Financial Law; Capital Markets. 10175 words.

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At the core of the sovereign crisis in Spain: restructuring subnational debt versus internal bailout

Ignacio Tirado.

in Capital Markets Law Journal

January 2014; p ublished online January 2014 .

Journal Article. Subjects: Financial Law; Capital Markets. 13405 words.

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Venture capital beyond the financial crisis: how corporate venturing boosts new entrepreneurial clusters (and assists governments in their innovation efforts)

Joseph A. McCahery and Erik P.M. Vermeulen.

in Capital Markets Law Journal

October 2010; p ublished online August 2010 .

Journal Article. Subjects: Financial Law; Capital Markets. 12518 words.

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Explaining securities markets efficiency

Razeen Sappideen.

in Capital Markets Law Journal

July 2008; p ublished online June 2008 .

Journal Article. Subjects: Financial Law; Capital Markets. 8980 words.

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