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Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Sun, Wei; Račev, Svetlozar T.; Stojanov, Stojan Dimitrov; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10009513633

A new approach to modeling co-movement of international equity markets : evidence of unconditional copula-based stimulation of tail dependence

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Empirical economics : a journal of the Institute for … 36 (2009) 1, pp. 201-229

Persistent link: https://www.econbiz.de/10003804574

A new approach for using Lévy processes for determining high-frequency value-at-risk predictions

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: European financial management : the journal of the … 15 (2009) 2, pp. 340-361

Persistent link: https://www.econbiz.de/10003824799

Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan V.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10009949920

Fractals in trade duration : capturing long-range dependence and heavy tailedness in modeling trade duration

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Annals of finance 4 (2008) 2, pp. 217-241

Persistent link: https://www.econbiz.de/10003644932

Fractals or I.I.D. : evidence of long-range dependence and heavy tailedness from modeling German equity market returns

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of economics & business 59 (2007) 6, pp. 575-595

Persistent link: https://www.econbiz.de/10003615737

Realized volatility and correlation estimators under non-Gaussian microstructure noise

Safari, Amir; Sun, Wei; Seese, Detlef; Račev, Svetlozar T. - 2012

Persistent link: https://www.econbiz.de/10009579904

Realized volatility and correlation estimators under non-Gaussian microstructure noise

Safari, Amir; Sun, Wei; Seese, Detlef; Račev, Svetlozar T. - In: Economic dynamics : theory, games and empirical studies, (pp. 171-197). 2009

Persistent link: https://www.econbiz.de/10003867880

Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing

Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005

Persistent link: https://www.econbiz.de/10002817530

Probability Metrics Applied to Problems in Portfolio Theory

Stoyanov, Stoyan V. - 2010

In the paper, we consider the application of the theory of probability metrics in several areas in the eld of nance. First, we argue that specially structured probability metrics can be used to quantify stochastic dominance relations. Second, the methods of the theory of probability metrics can...

Persistent link: https://www.econbiz.de/10013134897