The following pages link to (Q2709279):
Displayed 50 items.
- Analytic expressions for predictive distributions in mixture autoregressive models (Q109791) (← 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)
- 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)
- 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)
- Some developments on the log-Dagum distribution (Q734475) (← 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)
- Portfolio diversification under local and moderate deviations from power laws (Q998273) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Subsampling tests for the mean change point with heavy-tailed innovations (Q1013151) (← links)
- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach (Q1019484) (← links)
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity (Q1025338) (← links)
- Moment based approaches to Value the Risk of contingent claim portfolios (Q1026540) (← links)
- Heavy-tails and regime-switching in electricity prices (Q1028534) (← links)
- Scaling issues for risky asset modelling (Q1028545) (← links)
- Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence (Q1045793) (← links)
- Elliptical copulas: Applicability and limitations. (Q1423181) (← links)
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations. (Q1423259) (← links)
- Safety-first analysis and stable Paretian approach to portfolio choice theory (Q1600526) (← links)
- The distribution of test statistics for outlier detection in heavy-tailed samples (Q1600537) (← links)
- Operator geometric stable laws (Q1765616) (← links)
- Testing for parameter constancy in GARCH\((p,q)\) models (Q1767739) (← links)
- Stationarity of stable power-GARCH processes. (Q1858909) (← links)
- Modelling co-movements and tail dependency in the international stock market via copulae (Q1959136) (← links)
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk (Q2454819) (← links)
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors (Q2457963) (← links)
- Sequential monitoring of minimum variance portfolio (Q2461273) (← links)
- Delta hedging strategies comparison (Q2464246) (← links)
- Applications of geometric moment theory related to optimal portfolio management (Q2475911) (← links)
- Numerical method for estimating multivariate conditional distributions (Q2488388) (← links)