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1
Polynomial adjusted student-t densities for modeling asset returns
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
The European journal of finance
28
(
2022
)
9
,
pp. 907-929
Persistent link: https://www.econbiz.de/10013373353
Saved in:
2
Forecasting realized volatility of bitcoin returns : tail events and asymmetric loss
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
; …
- In:
The European journal of finance
27
(
2021
)
16
,
pp. 1626-1644
Persistent link: https://www.econbiz.de/10012872908
Saved in:
3
Quantifying systemic risk with factor copulas
Chen, Yi-Hsuan
;
Nasekin, Sergey
- In:
The European journal of finance
26
(
2020
)
18
,
pp. 1926-1947
Persistent link: https://www.econbiz.de/10012314665
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4
Density forecasts and the leverage effect : evidence from observation and parameter-driven volatility models
Catania, Leopoldo
;
Nonejad, Nima
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 100-118
Persistent link: https://www.econbiz.de/10012207189
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5
A dominance test for measuring financial connectedness
Bernardi, Mauro
;
Stolfi, Paola
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 119-141
Persistent link: https://www.econbiz.de/10012207190
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6
Kurtosis-based projection pursuit for outlier detection in financial time series
Loperfido, Nicola
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 142-164
Persistent link: https://www.econbiz.de/10012207191
Saved in:
7
A hyperbolic model of optimal cash balances
Burg, John van der
;
Song, Xiaojing
;
Tippett, Mark
- In:
The European journal of finance
25
(
2019
)
2
,
pp. 101-115
Persistent link: https://www.econbiz.de/10012206959
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8
Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR
Choi, Ji-Eun
;
Shin, Dong-wan
- In:
The European journal of finance
25
(
2019
)
18
,
pp. 1817-1833
Persistent link: https://www.econbiz.de/10012207151
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9
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli
;
Trede, Mark
- In:
The European journal of finance
24
(
2018
)
14
,
pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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10
Safehavenness of currencies
Wong, Alfred Y.
;
Fong, Tom
- In:
The European journal of finance
24
(
2018
)
4/6
,
pp. 300-332
Persistent link: https://www.econbiz.de/10012244321
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11
Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
The European journal of finance
24
(
2018
)
4/6
,
pp. 413-425
Persistent link: https://www.econbiz.de/10012244329
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12
Are news important to predict the Value-at-Risk?
Bernardi, Mauro
;
Catania, Leopoldo
;
Petrella, Lea
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 535-572
Persistent link: https://www.econbiz.de/10011736300
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13
Which parametric model for conditional skewness?
Feunou, Bruno
;
Jahan-Parvar, Mohammad R.
;
Tédongap, Roméo
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1237-1271
Persistent link: https://www.econbiz.de/10011715405
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14
Modelling multivariate skewness in financial returns : a SGARCH approach
De Luca, Giovanni
;
Loperfido, Nicola
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1113-1131
Persistent link: https://www.econbiz.de/10011419767
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15
Effects of skewness and kurtosis on production and hedging decisions : a skewed t distribution approach
Lien, Da-hsiang Donald
;
Wang, Yaqin
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1132-1143
Persistent link: https://www.econbiz.de/10011419778
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16
The role of multivariate skew-student density in the estimation of stock market crashes
Wu, Lei
;
Meng, Qingbin
;
Velazquez, Julio C.
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1144-1160
Persistent link: https://www.econbiz.de/10011419786
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17
Financial density selection
Marin, J. Miguel
;
Sucarrat, Genaro
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1195-1213
Persistent link: https://www.econbiz.de/10011419831
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18
Multivariate asset return prediction with mixture models
Paolella, Marc S.
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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19
Skewed distributions in finance and actuarial science : a review
Adcock, Christopher
;
Eling, Martin
;
Loperfido, Nicola
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1253-1281
Persistent link: https://www.econbiz.de/10011419878
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20
Modeling commodity value at risk with Psi Sigma neural networks using open-high-low-close data
Sermpinis, Georgios
;
Laws, Jason
;
Dunis, Christian
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 316-336
Persistent link: https://www.econbiz.de/10010528195
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21
A simple two-component model for the distribution of intraday returns
Coroneo, Laura
;
Veredas, David
- In:
The European journal of finance
18
(
2012
)
9/10
,
pp. 775-797
Persistent link: https://www.econbiz.de/10009691780
Saved in:
22
A modified Corrado test for assessing abnormal security returns
Ataullah, Ali
;
Song, Xiaojing
;
Tippett, Mark
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 589-601
Persistent link: https://www.econbiz.de/10009509842
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23
Translation-invariant and positive-homogeneous risk measures and optimal portfolio management
Landsman, Z.
;
Makov, U.
- In:
The European journal of finance
17
(
2011
)
3/4
,
pp. 307-320
Persistent link: https://www.econbiz.de/10009155400
Saved in:
24
Information matrix for a mixture of two Laplace distributions
Choi, Dongseok
;
Nadarajah, Saralees
- In:
Statistical papers
50
(
2009
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10003814827
Saved in:
25
Consistency of minimizing a penalized density power divergence estimator for mixing distribution
Lee, Taewook
;
Lee, Sangyeol
- In:
Statistical papers
50
(
2009
)
1
,
pp. 67-80
Persistent link: https://www.econbiz.de/10003814837
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26
Modified inference about the mean of the exponential distribution using moving extreme ranked set sampling
Abu-Dayyeh, Walid
;
Sawi, Esam Al
- In:
Statistical papers
50
(
2009
)
2
,
pp. 249-259
Persistent link: https://www.econbiz.de/10003815194
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27
Modeling stock markets' volatility using GARCH models with Normal, Student's t and stable Paretian distributions
Curto, José Dias
;
Pinto, José Castro
;
Tavares, …
- In:
Statistical papers
50
(
2009
)
2
,
pp. 311-321
Persistent link: https://www.econbiz.de/10003815208
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28
Robust Bayesian bonus-malus premiums under the conditional specification model
Gómez Déniz, Emilio
;
Sarabia Alzaga, José Maria
; …
- In:
Statistical papers
50
(
2009
)
3
,
pp. 465-480
Persistent link: https://www.econbiz.de/10003843868
Saved in:
29
Optimal tolerance regions for future regression vector and residual sum of squares of multiple regression model with multivariate spherically contoured errors
Khan, Shahjahan
- In:
Statistical papers
50
(
2009
)
3
,
pp. 511-525
Persistent link: https://www.econbiz.de/10003844037
Saved in:
30
An analysis of quantile measures of kurtosis : center and tails
Kotz, Samuel
;
Seier, Edith
- In:
Statistical papers
50
(
2009
)
3
,
pp. 553-568
Persistent link: https://www.econbiz.de/10003844043
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31
A unified approach of testing for discrete and continuous Pareto laws
Meintanis, Simos G.
- In:
Statistical papers
50
(
2009
)
3
,
pp. 569-580
Persistent link: https://www.econbiz.de/10003844045
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32
Moments of the product and ratio of two correlated chi-square variables
Joarder, Anwar H.
- In:
Statistical papers
50
(
2009
)
3
,
pp. 581-592
Persistent link: https://www.econbiz.de/10003844046
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33
Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras
;
Schmid, Wolfgang
;
Zabolotskyy, Taras
- In:
Statistical papers
50
(
2009
)
3
,
pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
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34
Useful moment and CDF formulations for the COM-Poisson distribution
Nadarajah, Saralees
- In:
Statistical papers
50
(
2009
)
3
,
pp. 617-622
Persistent link: https://www.econbiz.de/10003844057
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35
Models for construction of multivariate dependence : a comparison study
Aas, Kjersti
;
Berg, Daniel
- In:
The European journal of finance
15
(
2009
)
7/8
,
pp. 639-659
Persistent link: https://www.econbiz.de/10003924424
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36
Dependency without copulas or ellipticity
Shaw, William T.
;
Munir, Asad
- In:
The European journal of finance
15
(
2009
)
7/8
,
pp. 661-674
Persistent link: https://www.econbiz.de/10003924427
Saved in:
37
Special issue: Copulae and multivariate probability distributions in finance
Dias, Alexandra
(
contributor
)
-
2009
Persistent link: https://www.econbiz.de/10003924434
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38
Properties of systems with two exchangeable Pareto components
Navarro, Jorge
;
Ruiz, José M.
;
Sandoval, Carlos J.
- In:
Statistical papers
49
(
2008
)
2
,
pp. 177-190
Persistent link: https://www.econbiz.de/10003644463
Saved in:
39
Some useful integrals and their applications in correlation analysis
Joarder, Anwar H.
- In:
Statistical papers
49
(
2008
)
2
,
pp. 211-224
Persistent link: https://www.econbiz.de/10003644489
Saved in:
40
Estimation of parameters of bivariate normal distribution using concomitants of record values
Chacko, Manoj
;
Thomas, P. Yageen
- In:
Statistical papers
49
(
2008
)
2
,
pp. 263-275
Persistent link: https://www.econbiz.de/10003644523
Saved in:
41
Evidential inference based on record data and inter-record times
Arashi, M.
;
Emadi, M.
- In:
Statistical papers
49
(
2008
)
2
,
pp. 291-301
Persistent link: https://www.econbiz.de/10003644535
Saved in:
42
Bivariate semi [alpha]-Laplace distribution and processes
Kuttykrishnan, A. P.
;
Jayakumar, K.
- In:
Statistical papers
49
(
2008
)
2
,
pp. 303-313
Persistent link: https://www.econbiz.de/10003644543
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43
Homogeneity testing in a Weibull mixture model
Mosler, Karl C.
;
Scheicher, Christoph
- In:
Statistical papers
49
(
2008
)
2
,
pp. 315-332
Persistent link: https://www.econbiz.de/10003644551
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44
Highest posterior density estimation from multiply censored Pareto data
Fernández, Arturo J.
- In:
Statistical papers
49
(
2008
)
2
,
pp. 333-341
Persistent link: https://www.econbiz.de/10003644557
Saved in:
45
A group sequential test for the inverse Gaussian mean
Bacanli, Sevil
;
Demirhan, Yaprak Parlak
- In:
Statistical papers
49
(
2008
)
2
,
pp. 377-386
Persistent link: https://www.econbiz.de/10003644575
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46
On estimation in conditional heteroskedastic time series models under non-normal distributions
Liu, Shuangzhe
;
Heyde, Chris C.
- In:
Statistical papers
49
(
2008
)
3
,
pp. 455-469
Persistent link: https://www.econbiz.de/10003715360
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47
Modelling count data with overdispersion and spatial effects
Gschlößl, Susanne
;
Czado, Claudia
- In:
Statistical papers
49
(
2008
)
3
,
pp. 531-552
Persistent link: https://www.econbiz.de/10003715380
Saved in:
48
Characterization of distributions by conditional expectation of generalized order statistics
Samuel, Philip
- In:
Statistical papers
49
(
2008
)
1
,
pp. 101-108
Persistent link: https://www.econbiz.de/10003579735
Saved in:
49
Distribution of extremes of r th concomitant from the Morgenstern family
Scaria, Johny
;
Unnikrishnan Nair, N.
- In:
Statistical papers
49
(
2008
)
1
,
pp. 109-119
Persistent link: https://www.econbiz.de/10003579739
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50
Recurrence relations for the moments of order statistics from a beta distribution
Thomas, P. Yageen
;
Samuel, Philip
- In:
Statistical papers
49
(
2008
)
1
,
pp. 139-146
Persistent link: https://www.econbiz.de/10003579745
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