scientific article; zbMATH DE number 4197687
From MaRDI portal
Publication:5202791
zbMath0725.90006MaRDI QIDQ5202791
Stefan Mittnik, Svetlozar T. Rachev
Publication date: 1991
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
stable distributionsfinancial modellingasset returnsbivariate stock-return datageometric summation modelportfolios of financial assets
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (26)
On improved volatility modelling by fitting skewness in ARCH models ⋮ The theory of geometric stable distributions and its use in modeling financial data ⋮ Boundary regularity for fully nonlinear integro-differential equations ⋮ Likelihood-free Bayesian inference for \(\alpha\)-stable models ⋮ A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Dispersion models for geometric sums ⋮ Analytic and asymptotic properties of multivariate generalized Linnik's probability densities ⋮ Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme ⋮ Operator geometric stable laws ⋮ Convergence and inference for mixed Poisson random sums ⋮ Saddlepoint approximations for subordinator processes ⋮ Iterated probability distributions and extremes with random sample size ⋮ Weak limits for multivariate random sums ⋮ Computer simulation of geometric stable distributions ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise ⋮ Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions ⋮ Multivariate geometric stable distributions in financial applications. ⋮ Discrete time parametric models with long memory and infinite variance ⋮ Geometric stable laws: Estimation and applications ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Asymmetric Laplace laws and modeling financial data ⋮ Fractional moment estimation of Linnik and Mittag-Leffler parameters ⋮ Estimation of stable spectral measures ⋮ Stable modeling of value at risk ⋮ Tempered positive Linnik processes and their representations
This page was built for publication: