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Efficient Methods for Stable Distributions

REPORT published 12 June 2003

Authors: John P. Nolan

Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models

JOURNAL ARTICLE published March 2008 in Journal of Empirical Finance

Authors: Manabu Asai

Heavy-Tailed and Long-Tailed Distributions

BOOK CHAPTER published 2013 in An Introduction to Heavy-Tailed and Subexponential Distributions

Authors: Sergey Foss | Dmitry Korshunov | Stan Zachary

Random Variables

BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

BACK MATTER

OTHER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

FRONT MATTER

OTHER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

Functioning of Financial Markets and Theoretical Models for Returns

BOOK CHAPTER published in Springer Finance

A parametric alternative to the Hill estimator for heavy-tailed distributions

JOURNAL ARTICLE published May 2015 in Journal of Banking & Finance

Research funded by National Research Foundation of Korea (NRF-2012R1A1A1043439,NRF-2014S1A5A2A01011100)

Authors: Joseph H.T. Kim | Joocheol Kim

Identifying multiple outliers in heavy-tailed distributions with an application to market crashes

JOURNAL ARTICLE published September 2008 in Journal of Empirical Finance

Authors: Christian Schluter | Mark Trede

Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions

BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

Efficient Numerical Methods for Stable Distributions

REPORT published 12 June 2003

Authors: John P. Nolan

Stable Distributions and Processes

BOOK CHAPTER published April 2014 in Extreme Financial Risks and Asset Allocation

Financial Risk Management Using Asymmetric Heavy-tailed Distributions and Nonlinear Dependence Structures of Asset Returns under Discontinuous Dynamics

BOOK CHAPTER published June 2014 in Econometric Methods and Their Applications in Finance, Macro and Related Fields

Authors: Alaa El-Shazly

Heavy-Tailed and Long-Tailed Distributions

BOOK CHAPTER published 2011 in An Introduction to Heavy-Tailed and Subexponential Distributions

Authors: Sergey Foss | Dmitry Korshunov | Stan Zachary

Extreme Value Theory

BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

Heavy-Tailed Distributions

REFERENCE ENTRY published in SpringerReference

Recursions for Distributions of LDA Models

OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling

The Generalized Hyperbolic Distribution

BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

Stochastic Processes with Jumps

BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

Heavy-Tailed Distributions and Robustness in Economics and Finance

BOOK published 2015 in Lecture Notes in Statistics

Authors: Marat Ibragimov | Rustam Ibragimov | Johan Walden