4 citations · 4 across the 2 of their papers we have counts for
4 papers
Enhancing Markov and Chebyshev's inequalities
Joan del Castillo
The idea of the restricted mean has been used to establish a significantly improved version of Markov's inequality that does not require any new assumptions. The result immediately…
Modeling extreme values by the residual coefficient of variation
J. Castillo, M. Padilla
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generali…
Methods to distinguish between polynomial and exponential tails
Joan del Castillo, Jalila Daoudi, Richard Lockhart
In this article two methods to distinguish between polynomial and exponential tails are introduced. The methods are mainly based on the properties of the residual coefficient of va…
Hedging of time discrete auto-regressive stochastic volatility options
Joan del Castillo, Juan-Pablo Ortega
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models introduced by Taylor in the description of the log-returns of fina…