Pages that link to "Item:Q5337687"
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The following pages link to Portfolio Analysis in a Stable Paretian Market (Q5337687):
Displaying 50 items.
- Distributional properties of portfolio weights (Q278053) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Clustering financial time series: new insights from an extended hidden Markov model (Q319224) (← links)
- Pricing permanent convertible bonds in EVG model (Q377906) (← links)
- Aggregation of preferences for skewed asset returns (Q472212) (← links)
- One-step R-estimation in linear models with stable errors (Q528136) (← links)
- Least squares estimators for stochastic differential equations driven by small Lévy noises (Q529425) (← links)
- Estimation of stable distributions by indirect inference (Q530608) (← links)
- The asset market game (Q556402) (← links)
- Gaussian mixture modelling to detect random walks in capital markets (Q597510) (← links)
- Mean reversion in the US stock market (Q601386) (← links)
- Fractional-moment capital asset pricing model (Q603474) (← links)
- Spurious regression (Q609686) (← links)
- Estimating L-functionals for heavy-tailed distributions and application (Q609711) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- A hybrid Pareto model for asymmetric fat-tailed data: the univariate case (Q626276) (← links)
- Comparison of different estimation techniques for portfolio selection (Q636161) (← links)
- Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models (Q641782) (← links)
- Shaking the tree: an agency-theoretic model of asset pricing (Q665534) (← links)
- Long-term and short-term price memory in the stock market (Q672632) (← links)
- An alternative approach to stochastic calculus for economic and financial models (Q673806) (← links)
- Stock returns and hyperbolic distributions (Q699418) (← links)
- Stable distributions and the term structure of interest rates (Q699420) (← links)
- A testable version of the Pareto-Stable CAPM (Q699422) (← links)
- Computing the probability density function of the stable Paretian distribution (Q699429) (← links)
- Stochastic dominance and parameter estimation: The case of symmetric stable distributions (Q796197) (← links)
- Option pricing for log-symmetric distributions of returns (Q835680) (← links)
- Quantifying and understanding the economics of large financial movements (Q844583) (← links)
- Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion (Q849899) (← links)
- A nonparametric sequential test with power 1 for the mean of Lévy-stable laws with infinite variance (Q861528) (← links)
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview (Q862564) (← links)
- New variance ratio tests to identify random walk from the general mean reversion model (Q868405) (← links)
- Mean-semivariance models for fuzzy portfolio selection (Q929900) (← links)
- Asset price and wealth dynamics in a financial market with heterogeneous agents (Q959648) (← links)
- Indirect estimation of elliptical stable distributions (Q961425) (← links)
- On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors (Q962214) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Regime switching volatility calibration by the Baum-Welch method (Q989132) (← 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)
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions (Q1025340) (← links)
- Moment based approaches to Value the Risk of contingent claim portfolios (Q1026540) (← links)
- A review of credibilistic portfolio selection (Q1037447) (← links)
- Divergent rational expectations equilibrium in a dynamic model of a futures market (Q1140033) (← links)
- Stochastic modeling of security returns: Evidence from the Helsinki stock exchange (Q1197921) (← links)
- Mutual fund separation in financial theory - the separating distributions (Q1247251) (← links)
- Inference robustness of ARIMA models under non-normality. Special application to stock price data (Q1254082) (← links)
- Rank statistics for serial dependence (Q1262061) (← links)
- The probability content of cones in isotropic random fields (Q1268019) (← links)
- The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions (Q1278070) (← links)
