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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

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

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

Subadditivity re-examined : the case for value-at-risk

Daníelsson, Jón; Jorgensen, Bjorn N.; Mandira, Sarma; … - 2005

Persistent link: https://www.econbiz.de/10003358396

Scaling limits for workload process

Mikosch, Thomas; Samorodnitsky, Gennady - 2006

Persistent link: https://www.econbiz.de/10003370422

Modeling teletraffic arrivals by a Poisson cluster process

Fäy, Gilles; González-Arávalo, Bárbera; Mikosch, Thomas - 2005

Persistent link: https://www.econbiz.de/10003250306

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

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

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