Pages that link to "Item:Q855067"
From MaRDI portal
The following pages link to Financial modeling under non-Gaussian distributions. (Q855067):
Displaying 50 items.
- A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing (Q265279) (← links)
- Testing the constancy of Spearman's rho in multivariate time series (Q314566) (← links)
- Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\) (Q325015) (← links)
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique (Q391536) (← links)
- Nonparametric tests for constant tail dependence with an application to energy and finance (Q494381) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications (Q899357) (← links)
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions (Q901485) (← links)
- Emergence of heavy-tailed skew distributions from the heat equation (Q1620425) (← links)
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis (Q1623595) (← links)
- A perspective on recent methods on testing predictability of asset returns (Q1640689) (← links)
- The moments of a diffusion process (Q1642244) (← links)
- Unfolded GARCH models (Q1657508) (← links)
- Tail behavior and dependence structure in the APARCH model (Q1695685) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study (Q1722753) (← links)
- Sparse-group independent component analysis with application to yield curves prediction (Q1727895) (← links)
- It only takes a few moments to hedge options (Q1734554) (← links)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (Q1927109) (← links)
- Vine copulas with asymmetric tail dependence and applications to financial return data (Q1927146) (← links)
- A moment method for the multivariate asymmetric Laplace distribution (Q1950778) (← links)
- Diversity metrics for direct-coded variable-length chromosome shortest path problem evolutionary algorithms (Q2019686) (← links)
- Mean-variance efficiency of optimal power and logarithmic utility portfolios (Q2024117) (← links)
- Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions (Q2044321) (← links)
- Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic (Q2044378) (← links)
- Implied price processes anchored in statistical realizations (Q2085829) (← links)
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models (Q2220796) (← links)
- An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing (Q2241258) (← links)
- Correlated squared returns (Q2241899) (← links)
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (Q2280583) (← links)
- Econometric modeling of risk measures: a selective review of the recent literature (Q2314141) (← links)
- Comparison of jump-diffusion parameters using passage times estimation (Q2336891) (← links)
- Testing stationarity of the detrended price return in stock markets (Q2668268) (← links)
- A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513) (← links)
- Modeling Asset Prices (Q3112452) (← links)
- Instantaneous portfolio theory (Q4554500) (← links)
- Optimal investment under multi-factor stochastic volatility (Q4555076) (← links)
- Portfolio Allocation Using Omega Function: An Empirical Analysis (Q4561913) (← links)
- Three Non-Gaussian Models of Dependence in Returns (Q4976495) (← links)
- VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (Q4979882) (← links)
- Parameters estimation using the first passage times method in a jump-diffusion model (Q4989286) (← links)
- Random matrix models for datasets with fixed time horizons (Q4991056) (← links)
- A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
- Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) (Q5092651) (← links)
- On hysteretic vector autoregressive model with applications (Q5107318) (← links)
- (Q5121462) (← links)
- Filtering Response Directions (Q5162853) (← links)
- ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS (Q5221481) (← links)
