The following pages link to (Q2709279):
Displayed 50 items.
- 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)
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (Q2393347) (← links)
- The equity risk posed by the too-big-to-fail banks: a Foster-Hart estimation (Q2399305) (← links)
- Asymptotic multivariate dominance: a financial application (Q2404182) (← links)
- Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics (Q2419902) (← links)
- Exact confidence sets and goodness-of-fit methods for stable distributions (Q2451779) (← links)
- On the robustness of location estimators in models of firm growth under heavy-tailedness (Q2451782) (← links)
- The asymptotic codifference and covariation of log-fractional stable noise (Q2451783) (← links)
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk (Q2454819) (← links)
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors (Q2457963) (← links)
- Sequential monitoring of minimum variance portfolio (Q2461273) (← links)
- Delta hedging strategies comparison (Q2464246) (← links)
- Applications of geometric moment theory related to optimal portfolio management (Q2475911) (← links)
- Numerical method for estimating multivariate conditional distributions (Q2488388) (← links)
- Potential theory of geometric stable processes (Q2498924) (← links)
- Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime (Q2520441) (← links)
- Portfolio optimization when risk factors are conditionally varying and heavy tailed (Q2642602) (← links)
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model (Q2656030) (← links)
- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (Q2673808) (← links)
- Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes (Q2691644) (← links)
- MODEL-FREE INFERENCE FOR TAIL RISK MEASURES (Q2786682) (← links)
- RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (Q2814666) (← links)
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors (Q2834728) (← links)
- Properties of Strong Local Nondeterminism and Local Times of Stable Random Fields (Q2904883) (← links)
- MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION (Q2909514) (← links)
- Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters (Q2914954) (← links)
- Measuring nonlinear dependence in time-series, a distance correlation approach (Q2931592) (← links)
- Parameter Estimation for Hidden Markov Models with Intractable Likelihoods (Q2932769) (← links)
- A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios (Q2974429) (← links)
- Multi-tail generalized elliptical distributions for asset returns (Q3161678) (← links)
- A Note on Unit Root Tests with Infinite Variance Noise (Q3183724) (← links)
- LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS (Q3450342) (← links)
- A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL (Q3503127) (← links)
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (Q3520392) (← links)
- Applications of a General Stable Law Regression Model (Q3592648) (← links)
- A New Tempered Stable Distribution and Its Application to Finance (Q3606096) (← links)