The following pages link to (Q2709279):
Displaying 50 items.
- Portfolio diversification under local and moderate deviations from power laws (Q998273) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Subsampling tests for the mean change point with heavy-tailed innovations (Q1013151) (← links)
- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach (Q1019484) (← links)
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity (Q1025338) (← links)
- Moment based approaches to Value the Risk of contingent claim portfolios (Q1026540) (← links)
- Heavy-tails and regime-switching in electricity prices (Q1028534) (← links)
- Scaling issues for risky asset modelling (Q1028545) (← links)
- Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence (Q1045793) (← links)
- Elliptical copulas: Applicability and limitations. (Q1423181) (← links)
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations. (Q1423259) (← links)
- Safety-first analysis and stable Paretian approach to portfolio choice theory (Q1600526) (← links)
- The distribution of test statistics for outlier detection in heavy-tailed samples (Q1600537) (← links)
- The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks (Q1615082) (← links)
- Heavy tails and copulas: limits of diversification revisited (Q1668647) (← links)
- Identification and validation of stable ARFIMA processes with application to UMTS data (Q1677799) (← links)
- Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
- On the use of conditional expectation in portfolio selection problems (Q1730733) (← links)
- Universal constraints on the location of extrema of eigenfunctions of non-local Schrödinger operators (Q1737537) (← links)
- Estimating stable latent factor models by indirect inference (Q1754526) (← links)
- Operator geometric stable laws (Q1765616) (← links)
- Testing for parameter constancy in GARCH\((p,q)\) models (Q1767739) (← links)
- An exactly solvable correlated stochastic process in finite time (Q1782856) (← links)
- Codifference as a practical tool to measure interdependence (Q1783336) (← links)
- On the impact of conditional expectation estimators in portfolio theory (Q1789633) (← links)
- Stationarity of stable power-GARCH processes. (Q1858909) (← links)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Dynamic portfolio optimization under multi-factor model in stochastic markets (Q1929951) (← links)
- Inference procedures for stable-Paretian stochastic volatility models (Q1931045) (← links)
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088) (← links)
- Modelling co-movements and tail dependency in the international stock market via copulae (Q1959136) (← links)
- Inference for conditional value-at-risk of a predictive regression (Q1996776) (← links)
- Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models (Q2010462) (← links)
- Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns (Q2051157) (← links)
- Quantile inference for nonstationary processes with infinite variance innovations (Q2057405) (← links)
- Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method (Q2074132) (← links)
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise (Q2116336) (← links)
- A test procedure for distinguishing logarithmically decaying tail from polynomially decaying tail (Q2131939) (← links)
- Bivariate sub-Gaussian model for stock index returns (Q2146838) (← links)
- Stable Lévy motion with inverse Gaussian subordinator (Q2147665) (← links)
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics (Q2152200) (← links)
- The skew normal multivariate risk measurement framework (Q2183562) (← links)
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models (Q2220796) (← links)
- Non asymptotic controls on a recursive superquantile approximation (Q2233588) (← links)
- Modelling tail risk with tempered stable distributions: an overview (Q2241120) (← links)
- A robust test for mean change in dependent observations (Q2261987) (← links)
- Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions (Q2320904) (← links)
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index (Q2324152) (← links)
- Quanto option pricing in the presence of fat tails and asymmetric dependence (Q2347727) (← links)
- Periodic portfolio revision with transaction costs (Q2354016) (← links)
