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Modelling Dependence with Copulas and Applications to Risk Management

BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance

Authors: Paul Embrechts | Filip Lindskog | Alexander Mcneil

The Class of Stable Distributions

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

Multifactor Stochastic Variance Models in Risk Management: Maximum Entropy Approach and Lévy Processes*

BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance

Authors: Alexander Levin | Alexander Tchernitser

Portfolio Choice Theory with Non-Gaussian Distributed Returns

BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance

Authors: Sergio Ortobelli | Isabella Huber | Svetlozar T. Rachev | Eduardo S. Schwartz

Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails

BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance

Authors: Yesim Tokat | Svetlozar T. Rachev | Eduardo S. Schwartz

13 Financial applications of stable distributions

BOOK CHAPTER published 1996 in Handbook of Statistics

Authors: J. Huston McCulloch

Introduction

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

Random Variables

BOOK CHAPTER 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

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

Extreme Value Theory

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

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

Multivariate Time-Changed Brownian Motion

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

Implied Volatility Smile with Non-Gaussian Processes

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

Handbooks in Economics

BOOK CHAPTER published 2003 in Handbook of the Economics of Finance

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

Heavy-Tailed Distributions in VaR Calculations

BOOK CHAPTER published 2012 in Handbook of Computational Statistics

Authors: Adam Misiorek | Rafał Weron