The following pages link to (Q2709279):
Displaying 50 items.
- Properties and estimation of asymmetric exponential power distribution (Q97355) (← links)
- Analytic expressions for predictive distributions in mixture autoregressive models (Q109791) (← links)
- On the impact of semidefinite positive correlation measures in portfolio theory (Q256678) (← links)
- Discussion of `On simulation and properties of the stable law' by Devroye and James (Q257657) (← links)
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes (Q265662) (← links)
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) (← links)
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series (Q284329) (← links)
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations (Q288103) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Study of on-line measurement of traffic self-similarity (Q300954) (← links)
- A remark on multiobjective stochastic optimization via strongly convex functions (Q314598) (← links)
- Modeling spot price dependence in Australian electricity markets with applications to risk management (Q342246) (← links)
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends (Q395915) (← links)
- Financial applications of bivariate Markov processes (Q410357) (← links)
- Enhanced consistency of the resampled convolution particle filter (Q434722) (← links)
- Option pricing and hedging under a stochastic volatility Lévy process model (Q437103) (← links)
- Truncating estimation for the change in stochastic trend with heavy-tailed innovations (Q451494) (← links)
- Average sample number function for Pareto heavy tailed distributions (Q469896) (← links)
- Improved inference in the evaluation of mutual fund performance using panel bootstrap methods (Q473239) (← links)
- Convex ordering criteria for Lévy processes (Q477990) (← links)
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models (Q515145) (← links)
- Linear and nonlinear regression with stable errors (Q528134) (← links)
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration (Q528158) (← links)
- Estimating the codifference function of linear time series models with infinite variance (Q537535) (← links)
- Fractional-moment capital asset pricing model (Q603474) (← links)
- Modeling and simulation with operator scaling (Q608214) (← links)
- On linear models with long memory and heavy-tailed errors (Q618159) (← links)
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks (Q635960) (← links)
- Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models (Q641782) (← links)
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence (Q693235) (← links)
- On the controversy over tailweight of distributions. (Q703249) (← links)
- A GARCH option pricing model with \(\alpha\)-stable innovations (Q704080) (← links)
- A capital asset pricing model under stable Paretian distributions in a pure exchange economy (Q705053) (← links)
- The fractional multivariate normal tempered stable process (Q714607) (← links)
- Some developments on the log-Dagum distribution (Q734475) (← links)
- Monitoring persistence change in infinite variance observations (Q744739) (← links)
- A test for the weights of the global minimum variance portfolio in an elliptical model (Q745427) (← links)
- Joint tails impact in stochastic volatility portfolio selection models (Q827150) (← links)
- Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions (Q840975) (← links)
- Wavelet-based estimation for univariate stable laws (Q870496) (← links)
- Subsampling change-point detection in persistence with heavy-tailed innovations (Q874325) (← links)
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions (Q946254) (← links)
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach (Q951337) (← links)
- Testing for bubbles and change-points (Q953776) (← links)
- Conditional variance estimation in heteroscedastic regression models (Q958779) (← links)
- Calibrated FFT-based density approximations for \(\alpha\)-stable distributions (Q959282) (← links)
- Testing for independence in heavy-tailed time series using the codifference function (Q961960) (← links)
- Strong convergence rate of robust estimator of change point (Q991162) (← links)
- Stochastic models for risk estimation in volatile markets: a survey (Q993727) (← links)
