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Testing for structural breaks in time series regressions with heavy-tailed disturbances
Mittnik, Stefan; Račev, Svetlozar T.; Samorodnitsky, … - In: Datamining und computational finance : Ergebnisse des …, (pp. 115-142). 2000
Persistent link: https://www.econbiz.de/10001484303
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Long range dependence in heavy tailed stochastic processes
Racheva-Iotova, Borjana; Samorodnitsky, Gennady - In: Handbook of heavy tailed distributions in finance, (pp. 641-662). 2003
Persistent link: https://www.econbiz.de/10001882201
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Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals
Kurz-Kim, Jeong-Ryeol (contributor);  … - 2005
Under the symmetric á-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the...
Persistent link: https://www.econbiz.de/10003029711
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Fat tails, VaR and subadditivity
Daníelsson, Jón; Jorgensen, Bjorn N.; Samorodnitsky, … - In: Journal of econometrics 172 (2013) 2, pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
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Editorial: Latest developments on heavy-tailed distributions
Paolella, Marc S.; Renault, Eric; Samorodnitsky, Gennady; … - In: Journal of econometrics 172 (2013) 2, pp. 183-185
Persistent link: https://www.econbiz.de/10009706211
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Subadditivity re-examined : the case for value-at-risk
Daníelsson, Jón; Jorgensen, Bjorn N.; Mandira, Sarma; … - 2005
Persistent link: https://www.econbiz.de/10003358396
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Scaling limits for workload process
Mikosch, Thomas; Samorodnitsky, Gennady - 2006
Persistent link: https://www.econbiz.de/10003370422
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Modeling teletraffic arrivals by a Poisson cluster process
Fäy, Gilles; González-Arávalo, Bárbera; Mikosch, Thomas - 2005
Persistent link: https://www.econbiz.de/10003250306
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Different kinds of risk
Embrechts, Paul; Furrer, Hansjörg; Kaufmann, Roger - In: Handbook of financial time series, (pp. 729-751). 2009
Persistent link: https://www.econbiz.de/10003834220
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How to model operational risk if you must
Embrechts, Paul - In: Operations research proceedings 2006 : selected papers …, (pp. 81). 2007
Persistent link: https://www.econbiz.de/10003470262