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Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns

BOOK CHAPTER published in Contributions to Economics

Authors: Sebastian Kring | Svetlozar T. Rachev | Markus Höchstötter | Frank J. Fabozzi

Multi-tail generalized elliptical distributions for asset returns

JOURNAL ARTICLE published July 2009 in Econometrics Journal

Authors: Sebastian Kring | Svetlozar T. Rachev | Markus Höchstötter | Frank J. Fabozzi | Michele Leonardo Bianchi

Stochastic programming and stable distributions in asset-liability management

JOURNAL ARTICLE published November 2009 in The Journal of Risk

Authors: Michael Grebeck | Svetlozar Rachev | Frank Fabozzi

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

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

Stable Non-Gaussian Models for Credit Risk Management

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

Authors: Bernhard Martin | Svetlozar T. Rachev | Eduardo S. Schwartz

Stable distributions for asset returns

JOURNAL ARTICLE published 1989 in Applied Mathematics Letters

Authors: Stefan Mittnik | Svetlozar T. Rachev

Tempered stable and tempered infinitely divisible GARCH models

JOURNAL ARTICLE published September 2010 in Journal of Banking & Finance

Authors: Young Shin Kim | Svetlozar T. Rachev | Michele Leonardo Bianchi | Frank J. Fabozzi

Risk Measures and Portfolio Selection

OTHER published 15 September 2008 in Handbook of Finance

Authors: Svetlozar T. Rachev | Christian Menn | Frank J. Fabozzi

Modeling asset returns with alternative stable distributions*

JOURNAL ARTICLE published January 1993 in Econometric Reviews

Authors: Stefan Mittnik | Svetlozar T. Rachev

A New Tempered Stable Distribution and Its Application to Finance

BOOK CHAPTER published in Contributions to Economics

Authors: Young Shin Kim | Svetlozar T. Rachev | Michele Leonardo Bianchi | Frank J. Fabozzi

Momentum strategies based on reward–risk stock selection criteria

JOURNAL ARTICLE published August 2007 in Journal of Banking & Finance

Authors: Svetlozar Rachev | Teo Jašić | Stoyan Stoyanov | Frank J. Fabozzi

Relative deviation metrics and the problem of strategy replication

JOURNAL ARTICLE published February 2008 in Journal of Banking & Finance

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

Tempered stable distributions and processes in finance: numerical analysis

BOOK CHAPTER published 2010 in Mathematical and Statistical Methods for Actuarial Sciences and Finance

Authors: Michele Leonardo Bianchi | Svetlozar T. Rachev | Young Shin Kim | Frank J. Fabozzi

Financial market models with Lévy processes and time-varying volatility

JOURNAL ARTICLE published July 2008 in Journal of Banking & Finance

Authors: Young Shin Kim | Svetlozar T. Rachev | Michele Leonardo Bianchi | Frank J. Fabozzi

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

Modeling asset returns under time-varying semi-nonparametric distributions

JOURNAL ARTICLE published September 2020 in Journal of Banking & Finance

Authors: Ángel León | Trino-Manuel Ñíguez

Stable and Tempered Stable Distributions

OTHER published 15 December 2012 in Encyclopedia of Financial Models

Authors: Svetlozar T. Rachev | Young Shin Kim | Michele Leonardo Bianchi | Frank J. Fabozzi

Multiple Subordinated Modeling of Asset Returns: Implications for Option Pricing

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Abootaleb Shirvani | Svetlozar T. Rachev | Frank J. Fabozzi

CVaR sensitivity with respect to tail thickness

JOURNAL ARTICLE published March 2013 in Journal of Banking & Finance

Authors: Stoyan V. Stoyanov | Svetlozar T. Rachev | Frank J. Fabozzi