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Identifying time variability in stock and interes rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - In: Investment management and financial innovations 10 (2013) 2, pp. 73-83

Persistent link: https://www.econbiz.de/10010201094

Financial indicators signaling correlation changes in sovereign bond markets

De Santis, Roberto A.; Stein, Michael - In: Journal of banking & finance 56 (2015), pp. 86-102

Persistent link: https://www.econbiz.de/10011488597

Stable paretian models in finance

Račev, Svetlozar T.; Mittnik, Stefan - 2000

Persistent link: https://www.econbiz.de/10001354951

Stationarity of stable GARCH processes

Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1999

Persistent link: https://www.econbiz.de/10001557008

Diagnosing and treating the fat tails in financial returns data

Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - In: Journal of empirical finance 7 (2000) 3/4, pp. 389-416

Persistent link: https://www.econbiz.de/10001558281

The prediction of down-side market risk with GARCH-stable models

Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1998

Persistent link: https://www.econbiz.de/10001410540

Stationary of stable power-GARCH processes

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107

Persistent link: https://www.econbiz.de/10001633694

A modified tempered stable distribution with volatility clustering

Kim, Young Shin; Račev, Svetlozar T.; Chung, Dong Myung; … - In: New developments in financial modelling, (pp. 344-365). 2008

Persistent link: https://www.econbiz.de/10003981863

Tempered stable and tempered infinitely divisible GARCH models

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2011

In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model. This model allows the description of some stylized empirical facts observed for stock and index returns, such as volatility...

Persistent link: https://www.econbiz.de/10009010170

Time series analysis for financial market meltdowns

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 35 (2011) 8, pp. 1879-1891

Persistent link: https://www.econbiz.de/10009247416