scientific article; zbMATH DE number 1301873
From MaRDI portal
Publication:4247098
Recommendations
- scientific article; zbMATH DE number 1302132
- Multivariate extremes, aggregation and risk estimation
- scientific article; zbMATH DE number 5220427
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
- scientific article; zbMATH DE number 2070436
Cited in
(27)- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Marked point process adjusted tail dependence analysis for high-frequency financial data
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Financial econometrics: Past developments and future challenges
- Is volatility lognormal? Evidence from Italian futures
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- The quotient of normal random variables and application to asset price fat tails
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- Almost sure and moment stability properties of fractional order Black-Scholes model
- Heavy tailed distributions in closing auctions
- Do financial returns have finite or infinite variance? A paradox and an explanation
- scientific article; zbMATH DE number 1302132 (Why is no real title available?)
- scientific article; zbMATH DE number 2070436 (Why is no real title available?)
- Profiling high-frequency equity price movements in directional changes
- A semi-parametric approach to risk management
- Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
- AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ
- Pricing risk when distributions are fat tailed
- Right-tail information in financial markets
- Statistical analysis of high frequency data from the Athens stock exchange
- A model for the growth dynamics of economic organizations
- Price fluctuations and market activity
- Quantifying economic fluctuations
- The angular distribution of asset returns in delay space
- Sparse Reduced Rank Huber Regression in High Dimensions
- Continuous cascade models for asset returns
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4247098)