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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 |
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Modeling Financial Data with Stable Distributions BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance |
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Ruin probabilities under general investments and heavy-tailed claims JOURNAL ARTICLE published June 2011 in Finance and Stochastics |
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Multivariate Heavy-Tailed Models for Value-at-Risk Estimation JOURNAL ARTICLE published in SSRN Electronic Journal |
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MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION JOURNAL ARTICLE published June 2012 in International Journal of Theoretical and Applied Finance |
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Alexander McNeil, Rüdiger Frey, Paul Embrechts (2005): “Quantitative Risk Management”, Princeton Series in Finance, $79.50.-. JOURNAL ARTICLE published June 2006 in Financial Markets and Portfolio Management |
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Motivation for Heavy‐Tailed Models OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Dependence structures for multivariate high-frequency data in finance JOURNAL ARTICLE published 1 January 2003 in Quantitative Finance |
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Dependence structures for multivariate high-frequency data in finance JOURNAL ARTICLE published January 2003 in Quantitative Finance |
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Statistical inference in regression with heavy-tailed integrated variables JOURNAL ARTICLE published November 2001 in Mathematical and Computer Modelling |
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Heavy‐Tailed Model Class Characterizations for LDA OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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Risk Measures and Dependence Modeling BOOK CHAPTER published 2013 in Handbook of Insurance |
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Introduction BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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Sample quantiles of heavy tailed stochastic processes JOURNAL ARTICLE published October 1995 in Stochastic Processes and their Applications |
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Flexible Heavy‐Tailed Severity Models: α‐Stable Family OTHER published 20 February 2015 in Advances in Heavy Tailed Risk Modeling |
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BACK MATTER OTHER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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Random Variables BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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FRONT MATTER OTHER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management |
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Kendall’s Tau for Elliptical Distributions BOOK CHAPTER published 2003 in Credit Risk |
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The distribution of test statistics for outlier detection in heavy-tailed samples JOURNAL ARTICLE published November 2001 in Mathematical and Computer Modelling |