A parametric alternative to the Hill estimator for heavy-tailed distributions

JOURNAL ARTICLE published May 2015 in Journal of Banking & Finance

Research funded by National Research Foundation of Korea (NRF-2012R1A1A1043439,NRF-2014S1A5A2A01011100)

Authors: Joseph H.T. Kim | Joocheol Kim

Identifying multiple outliers in heavy-tailed distributions with an application to market crashes

JOURNAL ARTICLE published September 2008 in Journal of Empirical Finance

Authors: Christian Schluter | Mark Trede

Statistical Properties of Financial Market Data

BOOK CHAPTER published in Springer Finance

Optimal Portfolio Choice Under Heterogeneous Beliefs

BOOK CHAPTER published 2003 in Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Authors: Alexandre Ziegler

VaR Extensions from Gaussian Finance to Non‐Gaussian Finance

OTHER published 22 April 2013 in VaR Methodology for Non‐Gaussian Finance

Authors: Marine Habart‐Corlosquet | Jacques Janssen | Raimondo Manca

Forward-looking portfolio selection with multivariate non-Gaussian models

JOURNAL ARTICLE published 2 October 2020 in Quantitative Finance

Authors: Michele Leonardo Bianchi | Gian Luca Tassinari

Portfolio Composition Choice: A Behavioral Approach

JOURNAL ARTICLE published June 2003 in Journal of Behavioral Finance

Authors: Uri Benzion | Joseph Yagil

Dynamic bond portfolio choice in a model with Gaussian diffusion regimes

JOURNAL ARTICLE published June 2005 in The European Journal of Finance

Authors: João Libório

(Non-)robustness of maximum likelihood estimators for operational risk severity distributions

JOURNAL ARTICLE published October 2010 in Quantitative Finance

Authors: Sonja Huber

Chapter 1 Portfolio theory

BOOK CHAPTER published 1995 in Handbooks in Operations Research and Management Science

Authors: G.M. Constantinides | A.G. Malliaris

A theory of non-Gaussian option pricing

JOURNAL ARTICLE published 1 December 2002 in Quantitative Finance

Authors: Lisa Borland

Smooth monotone covariance for elliptical distributions and applications in finance

JOURNAL ARTICLE published September 2014 in Quantitative Finance

Authors: Xiaoping Zhou | Dmitry Malioutov | Frank J. Fabozzi | Svetlozar T. Rachev

Handbook of Computational and Numerical Methods in Finance

BOOK published 2004

Editors: Svetlozar T. Rachev

MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION

JOURNAL ARTICLE published June 2012 in International Journal of Theoretical and Applied Finance

Authors: CARLO MARINELLI | STEFANO D'ADDONA | SVETLOZAR T. RACHEV

HEAVY-TAILED AND NON-LINEAR CONTINUOUS-TIME ARMA MODELS FOR FINANCIAL TIME SERIES

PROCEEDINGS ARTICLE published April 2000 in Statistics and Finance

Authors: P. J. BROCKWELL

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

Risk and return dynamics in portfolio theory

BOOK CHAPTER published 3 November 2023 in Analytics in Finance and Risk Management

Authors: Vikas Gupta | Sripal Srivastava

Functioning of Financial Markets and Theoretical Models for Returns

BOOK CHAPTER published in Springer Finance

Post-modern Approaches for Portfolio Optimization

BOOK CHAPTER published in Handbook on Information Technology in Finance

Authors: Borjana Racheva-Iotova | Stoyan Stoyanov

Heavy-Tailed Distributions and Robustness in Economics and Finance

BOOK published 2015 in Lecture Notes in Statistics

Authors: Marat Ibragimov | Rustam Ibragimov | Johan Walden