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Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Stefan Mittnik | Marc S. Paolella

Multivariate Time-Changed Brownian Motion

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

Laplace Distributions and Processes

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

Assessing Changes in Financial Statistics Using Stable Paretian Distributions and Information Theory

JOURNAL ARTICLE published March 1975 in The Journal of Finance

Authors: Robert Alan Leitch

- Pareto and related heavy-tailed distributions

BOOK CHAPTER published 10 March 2015 in Pareto Distributions

Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance

JOURNAL ARTICLE published March 2010 in Journal of Empirical Finance

Authors: Jean-Marie Dufour | Jeong-Ryeol Kurz-Kim | Franz C. Palm

Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions

JOURNAL ARTICLE published September 2010 in Journal of Empirical Finance

Authors: Marie-Claude Beaulieu | Jean-Marie Dufour | Lynda Khalaf

Appendix A: Miscellaneous Definitions and List of Distributions

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

Implications of Heavy-Tailedness

BOOK CHAPTER published 2015 in Heavy-Tailed Distributions and Robustness in Economics and Finance

Authors: Marat Ibragimov | Rustam Ibragimov | Johan Walden

Implied Volatility Smile with Non-Gaussian Processes

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

14 Probability distributions for financial models

BOOK CHAPTER published 1996 in Handbook of Statistics

Authors: James B. McDonald

Handbooks in Economics

BOOK CHAPTER published 2003 in Handbook of the Economics of Finance

Estimation of simple characteristics of samples from skewed and heavy-tailed distributions

PROCEEDINGS ARTICLE published November 2007 in Recent Advances in Stochastic Modeling and Data Analysis

Authors: Zdeněk Fabián

HEAVY-TAILED DISTRIBUTIONS AND THE CANADIAN STOCK MARKET RETURNS

JOURNAL ARTICLE published 8 December 2017 in Copernican Journal of Finance & Accounting

Authors: David Eden | Paul Huffman | John Holman

A Portfolio Selection Analysis with Non-Gaussian Models

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

Introduction

BOOK CHAPTER published 2015 in Heavy-Tailed Distributions and Robustness in Economics and Finance

Authors: Marat Ibragimov | Rustam Ibragimov | Johan Walden

ASSESSING CHANGES IN FINANCIAL STATISTICS USING STABLE PARETIAN DISTRIBUTIONS AND INFORMATION THEORY*

JOURNAL ARTICLE published March 1975 in The Journal of Finance

Authors: Robert Alan Leitch

Implementing likelihood-based inference for fat-tailed distributions

JOURNAL ARTICLE published March 2008 in Finance Research Letters

Authors: M. Rekkas | A. Wong

Financial Economics, Fat-Tailed Distributions

REFERENCE ENTRY published in SpringerReference

Model Selection Test for the Heavy-Tailed Distributions under Censored Samples with Application in Financial Data

JOURNAL ARTICLE published 13 December 2016 in International Journal of Financial Studies

Authors: Hanieh Panahi