scientific article; zbMATH DE number 1124634
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Publication:4378664
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Cited in
(28)- Non-linear properties of conditional returns under scale mixtures
- Testing for (in)finite moments
- Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.
- A structure for general and specific market risk
- The distribution of cross sectional momentum returns
- Multi-stock portfolio optimization under prospect theory
- Modelling co-movements and tail dependency in the international stock market via copulae
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Stable Paretian versus student's \(t\) stock market hypothesis
- Empirical evidence on Student-t log-returns of diversified world stock indices
- A generalized skewness statistic for stationary ergodic martingale differences
- Testing for the generalized normal-Laplace distribution with applications
- Detecting multifractal stochastic processes under heavy-tailed effects
- Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
- Fitting financial returns distributions: a mixture normality approach
- Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
- Fitting the variance-gamma model to financial data
- scientific article; zbMATH DE number 5583464 (Why is no real title available?)
- A BENCHMARK APPROACH TO FINANCE
- Student processes
- W₂ barycenters for radially related distributions
- A comparison of the GB2 and skewed generalized log-t distributions with an application in finance
- Optimal design approach to GMM estimation of parameters based on empirical transforms
- On the controversy over tailweight of distributions.
- Stock market index dynamics and market activity
- Intraday empirical analysis and modeling of diversified world stock indices
- Statistical regularities in the return intervals of volatility
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