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Metrics for multivariate stable distributions

PROCEEDINGS ARTICLE published 2010 in Banach Center Publications

Authors: John P. Nolan

Structural equation modeling with heavy tailed distributions

JOURNAL ARTICLE published September 2004 in Psychometrika

Authors: Ke-Hai Yuan | Peter M. Bentler | Wai Chan

Stable distributions in the Black–Litterman approach to asset allocation

JOURNAL ARTICLE published August 2007 in Quantitative Finance

Authors: Rosella Giacometti | Marida Bertocchi | Svetlozar T. Rachev | Frank J. Fabozzi

Matrix Mittag–Leffler distributions and modeling heavy-tailed risks

JOURNAL ARTICLE published September 2020 in Extremes

Research funded by Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung (200021˙168993)

Authors: Hansjörg Albrecher | Martin Bladt | Mogens Bladt

Risk management and dynamic portfolio selection with stable Paretian distributions

JOURNAL ARTICLE published March 2010 in Journal of Empirical Finance

Authors: Sergio Ortobelli | Svetlozar T. Rachev | Frank J. Fabozzi

PROBABILITY DISTRIBUTIONS

BOOK CHAPTER published May 2011 in Probability and Finance Theory

Probability Distributions

BOOK CHAPTER published November 2015 in Probability and Finance Theory

Testing for a finite variance in stock return distributions

BOOK CHAPTER published 2001 in Return Distributions in Finance

Authors: Jun Yu

Statistical distributions and the identification of currency crises

JOURNAL ARTICLE published August 2003 in Journal of International Money and Finance

Authors: Susan Pozo | Catalina Amuedo-Dorantes

Data Classification Algorithms for Complex Heavy-Tailed Distributions

PROCEEDINGS ARTICLE published 15 December 2021 in 2021 CIE International Conference on Radar (Radar)

Authors: Jianbo Li | Yao Rong | Liu Yang | Zhifang Liang | Xiaolin Du

New discrete heavy tailed distributions as models for insurance data

JOURNAL ARTICLE published 5 May 2023 in PLOS ONE

Authors: Saralees Nadarajah | Jiahang Lyu

Editors: Zheng Xu

From the central limit theorem to heavy-tailed distributions

JOURNAL ARTICLE published September 2003 in Journal of Applied Probability

Authors: Jinwen Chen

Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models

JOURNAL ARTICLE published June 2009 in Quantitative Finance

Authors: Dirk Prange | Wolfgang Scherer

Parameter estimation for stable distributions with application to commodity futures log-returns

JOURNAL ARTICLE published 1 January 2017 in Cogent Economics & Finance

Research funded by African Institute for Mathematical Sciences (na) | National Research Foundation (na) | ACQuFRR (na)

Authors: M. Kateregga | S. Mataramvura | D. Taylor

Editors: Xibin Zhang

Alternative multivariate stable distributions and their applications to financial modeling

BOOK CHAPTER published 1991 in Stable Processes and Related Topics

Authors: Stefan Mittnik | Svetlozar T. Rachev

On the emergence of heavy-tailed streamflow distributions

JOURNAL ARTICLE published August 2015 in Advances in Water Resources

Authors: S. Basso | M. Schirmer | G. Botter

Fat Tails, Scaling, and Stable Laws:A Critical Look at Modeling Extremal Events in Financial Phenomena

JOURNAL ARTICLE published April 2003 in The Journal of Risk Finance

Authors: SERGIO M. FOCARDI | FRANK J. FABOZZI

Risk in the cryptocurrency markets: the role of structural breaks and fat-tailed distributions in estimating value-at-risk and expected shortfall

JOURNAL ARTICLE published 2 August 2023 in The European Journal of Finance

Authors: Saswat Patra | Neha Gupta

An Introduction to Heavy-Tailed and Subexponential Distributions

BOOK published 2011 in Springer Series in Operations Research and Financial Engineering

Authors: Sergey Foss | Dmitry Korshunov | Stan Zachary

The Oxford Handbook of Computational Economics and Finance

BOOK published 5 February 2018 in Oxford Handbooks Online

Editors: Shu-Heng Chen | Mak Kaboudan | Ye-Rong Du