Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750): Difference between revisions

@@ Property / DOI @@
-.1007/s10287-018-0306-0
@@ Property / DOI: 10.1007/s10287-018-0306-0 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10287-018-0306-0
+Normal rank
@@ Property / OpenAlex ID @@
+W2801720423
@@ Property / OpenAlex ID: W2801720423 / rank @@
+Normal rank
@@ Property / cites work @@
+A Test of Goodness of Fit
@@ Property / cites work: A Test of Goodness of Fit / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Normal Variance-Mean Mixtures and z Distributions
@@ Property / cites work: Normal Variance-Mean Mixtures and z Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
+Normal rank
@@ Property / cites work @@
+Fat tails, VaR and subadditivity
@@ Property / cites work: Fat tails, VaR and subadditivity / rank @@
+Normal rank
@@ Property / cites work @@
+Q2738734
@@ Property / cites work: Q2738734 / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap methods: another look at the jackknife
@@ Property / cites work: Bootstrap methods: another look at the jackknife / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+Q5856820
@@ Property / cites work: Q5856820 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial modeling under non-Gaussian distributions.
+Normal rank
@@ Property / cites work @@
+Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
+Normal rank
@@ Property / cites work @@
+Q3003679
@@ Property / cites work: Q3003679 / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in an exponential mixedts Lévy process
+Normal rank
@@ Property / cites work @@
+Risk parity for mixed tempered stable distributed sources of risk
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+Q3083935
@@ Property / cites work: Q3083935 / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed tempered stable distribution
@@ Property / cites work: Mixed tempered stable distribution / rank @@
+Normal rank
@@ Property / cites work @@
+Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
+Normal rank
@@ Property / DOI @@
+.1007/S10287-018-0306-0
@@ Property / DOI: 10.1007/S10287-018-0306-0 / rank @@
+Normal rank