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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
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Smoothly truncated stable distributions, GARCH-models, and option pricing
Menn, Christian; Račev, Svetlozar T. - In: Mathematical methods of operations research 69 (2009) 3, pp. 411-438
Persistent link: https://www.econbiz.de/10003858257
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Unconditional and conditional distributional models for the Nikkei index
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000985609
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A tail estimator for the index of the stable Paretian distribution
Mittnik, Stefan - 1996
Persistent link: https://www.econbiz.de/10001410592
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Stable modelling of operational risk
Chernobai, Anna; Rachev, Svetlozar - In: Operational risk modelling and analysis : theory and …, (pp. 139-169). 2004
Persistent link: https://www.econbiz.de/10002770529
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Chi-square-type distributions for heavy-tailed variates
Mittnik, Stefan; Kurz-Kim, Jeong-Ryeol; Račev, Svetlozar T. - 1996
Persistent link: https://www.econbiz.de/10000955839
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Test on association of random variables in the domain of attraction of multivariate stable law
Račev, Svetlozar T.; Huang, Xin - 1991
Persistent link: https://www.econbiz.de/10000842026
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Modeling asset returns with alternative stable distributions
Mittnik, Stefan - In: Econometric reviews 12 (1993) 3, pp. 261-330
Persistent link: https://www.econbiz.de/10001156115
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Laplace-Weibull mixtures for modeling price changes
Račev, Svetlozar T. - In: Management science : journal of the Institute for … 39 (1993) 8, pp. 1029-1038
Persistent link: https://www.econbiz.de/10001147671