Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
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- Convex measures of risk and trading constraints
- Extremal theory for stochastic processes
- scientific article; zbMATH DE number 3474264 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- On the foundations of multivariate heavy-tail analysis
- Point processes, regular variation and weak convergence
- THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
- The Innovest Austrian Pension Fund Financial Planning Model InnoALM
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