Models for Heavy-tailed Asset Returns
Year of publication: |
2010
|
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Authors: | Borak, Szymon ; Misiorek, Adam ; Weron, Rafal |
Institutions: | Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska |
Subject: | Heavy-tailed distribution | Stable distribution | Tempered stable distribution | Generalized hyperbolic distribution | Asset return | Random number generation | Parameter estimation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in the 2nd edition of Statistical Tools for Finance and Insurance, P.Cizek, W.Haerdle, R.Weron (eds.), Springer-Verlag, 2011. Number HSC/10/01 38 pages |
Classification: | C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Models for Heavy-tailed Asset Returns
Borak, Szymon, (2010)
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Models for Heavy-tailed Asset Returns
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Models for heavy-tailed asset returns
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