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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
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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
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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
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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
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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
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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
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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
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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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Empirical analayses of industry stock index return distributions for the Taiwan Stock Exchange
Račev, Svetlozar T.; Emeritus; Stoyanov, Stoyan V.; … - In: Annals of economics and finance 8 (2007) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10003714369
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Risk measures and portfolio selection
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765462