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

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

Authors: Stefan Mittnik | Marc S. Paolella

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

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Stefan Mittnik | Marc S. Paolella

Modelling and predicting market risk with Laplace–Gaussian mixture distributions

JOURNAL ARTICLE published 15 October 2006 in Applied Financial Economics

Authors: Markus Haas | Stefan Mittnik | Marc S. Paolella

Conditional density and value-at-risk prediction of Asian currency exchange rates

JOURNAL ARTICLE published July 2000 in Journal of Forecasting

Authors: Stefan Mittnik | Marc S. Paolella

Modeling and Predicting Market Risk With Laplace-Gaussian Mixture Distributions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Markus Haas | Stefan Mittnik | Marc S. Paolella

Financial Risk and Heavy Tails

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

Authors: Brendan O. Bradley | Murad S. Taqqu

Evaluating South Africa’s market risk using asymmetric power auto-regressive conditional heteroscedastic model under heavy-tailed distributions

JOURNAL ARTICLE published 30 October 2019 in Journal of Economic and Financial Sciences

Authors: Retius Chifurira | Knowledge Chinhamu

Tempered Stable Distributions

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

Comparing downside risk measures for heavy tailed distributions

JOURNAL ARTICLE published August 2006 in Economics Letters

Authors: Jón Daníelsson | Bjørn N. Jorgensen | Mandira Sarma | Casper G. de Vries

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

The Class of Stable Distributions

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

JOURNAL ARTICLE published 1998 in Asia-Pacific Financial Markets

Authors: Stefan Mittnik | Marc S. Paolella | Svetlozar T. Rachev

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

Latest developments on heavy-tailed distributions

JOURNAL ARTICLE published February 2013 in Journal of Econometrics

Authors: Marc Paolella | Eric Renault | Gennady Samorodnitsky | David Veredas

Approximating expected shortfall for heavy-tailed distributions

JOURNAL ARTICLE published October 2018 in Econometrics and Statistics

Authors: Simon A. Broda | Jochen Krause | Marc S. Paolella

CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES

JOURNAL ARTICLE published June 1998 in Econometric Theory

Authors: Stefan Mittnik | Svetlozar T. Rachev | Jeong-Ryeol Kim

Introduction

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

Modeling Financial Data with Stable Distributions

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

Authors: John P. Nolan

Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Christoph Hartz | Marc S. Paolella

BACK MATTER

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