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subject:"ARCH model"
~person:"Fabozzi, Frank J."
~person:"Lönnbark, Carl"
~subject:"Statistical distribution"
~type:"article"
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Fabozzi, Frank J.
Lönnbark, Carl
Račev, Svetlozar T.
10
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ECONIS (ZBW)
14
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1
How fat are the tails of equity market indices?
Stoyanov, Stoyan V.
;
Loh, Lixia
;
Fabozzi, Frank J.
- In:
International journal of finance & economics : IJFE
22
(
2017
)
3
,
pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
Saved in:
2
Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl
- In:
Finance research letters
23
(
2017
),
pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
Saved in:
3
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Saved in:
4
Portfolio selection in the presence of systemic risk
Biglova, Almira
;
Ortobelli, Sergio
;
Fabozzi, Frank J.
- In:
The journal of asset management
15
(
2014
)
5
,
pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
Saved in:
5
CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
Saved in:
6
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
Saved in:
7
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Operations research models in banking management
,
(pp. 169-187)
.
2013
Persistent link: https://www.econbiz.de/10009739300
Saved in:
8
Value at Risk and Expected Shortfall for large portfolios
Lönnbark, Carl
;
Holmberg, Ulf
;
Brännäs, Kurt
- In:
Finance research letters
8
(
2011
)
2
,
pp. 59-68
Persistent link: https://www.econbiz.de/10009301309
Saved in:
9
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
Saved in:
10
Fat-tailed models for risk estimation
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
; …
- In:
The journal of portfolio management : a publication of …
37
(
2010/11
)
2
,
pp. 107-117
Persistent link: https://www.econbiz.de/10009273905
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