Modeling fat tails in stock returns: a multivariate stable-GARCH approach (Q2512745): Difference between revisions

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+Portfolio optimization when risk factors are conditionally varying and heavy tailed
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+On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
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+Portfolio Analysis in a Stable Paretian Market
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+Testing the stable Paretian assumption
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+Quadratic ARCH Models
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+Publication:2512745