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Modeling the persistence of conditional volatility with GARCH-stable processes

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Unconditional and conditional distributional models for the Nikkei index

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A tail estimator for the index of the stable Paretian distribution

Mittnik, Stefan - 1996

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Chi-square-type distributions for heavy-tailed variates

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Test on association of random variables in the domain of attraction of multivariate stable law

Račev, Svetlozar T.; Huang, Xin - 1991

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Modeling asset returns with alternative stable distributions

Mittnik, Stefan - In: Econometric reviews 12 (1993) 3, pp. 261-330

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Laplace-Weibull mixtures for modeling price changes

Račev, Svetlozar T. - In: Management science : journal of the Institute for … 39 (1993) 8, pp. 1029-1038

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Construction of probability metrics on classes of investors

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Economics letters 103 (2009) 1, pp. 45-48

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Probability and statistics for finance

Račev, Svetlozar T.; Höchstötter, Markus; Fabozzi, … - 2010

A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, you need a firm...

Persistent link: https://www.econbiz.de/10008665229

Metrization of stochastic dominance rules

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-22

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