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The limits of nested subclasses of several classes of infinitely divisible distributions are identical with the closure of the class of stable distributions

Maejima, Makoto; Sato, Ken-iti - In: Probability theory and related fields : continuation of … 145 (2009) 1/2, pp. 119-142

Persistent link: https://www.econbiz.de/10003936342

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

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

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

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

Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals

Kurz-Kim, Jeong-Ryeol - 2016

Persistent link: https://www.econbiz.de/10012991226

Ruin probabilities in classical risk models with gamma claims

Constantinescu, Corina; Samorodnitsky, Gennady; Zhu, Wei - In: Scandinavian actuarial journal (2018) 7, pp. 555-575

Persistent link: https://www.econbiz.de/10011939710