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~person:"Mercuri, Lorenzo"
~person:"Songsak Sriboonchitta"
~type_genre:"Book section"
~type_genre:"Collection of articles written by one author"
~type_genre:"Conference paper"
~type_genre:"Mikroform"
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Mercuri, Lorenzo
Songsak Sriboonchitta
Račev, Svetlozar T.
9
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Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
Hitaj, Asmerilda
;
Mercuri, Lorenzo
;
Rroji, Edit
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 71-95
Persistent link: https://www.econbiz.de/10011993423
Saved in:
2
Risk parity for mixed tempered stable distributed sources of risk
Mercuri, Lorenzo
;
Roji, Edit
- In:
Advances of OR in commodities and financial modeling
,
(pp. 375-393)
.
2018
Persistent link: https://www.econbiz.de/10011871411
Saved in:
3
Robustness as a criterion for selecting a probability distribution under uncertainty
Songsak Sriboonchitta
;
Nguyen, Hung T.
;
Kreinovich, Vladik
- In:
Robustness in econometrics
,
(pp. 51-68)
.
2017
Persistent link: https://www.econbiz.de/10011800927
Saved in:
4
Evaluation of portfolio returns in Fama-French model using quantile regression under asymmetric Laplace distribution
Kittawit Autchariyapanitkul
;
Somsak Chanaim
;
Songsak …
- In:
Econometrics of risk
,
(pp. 233-244)
.
2015
Persistent link: https://www.econbiz.de/10010498535
Saved in:
5
Quantile regression under asymmetric Laplace distribution in capital asset pricing model
Kittawit Autchariyapanitkul
;
Somsak Chanaim
;
Songsak …
- In:
Econometrics of risk
,
(pp. 219-231)
.
2015
Persistent link: https://www.econbiz.de/10010498537
Saved in:
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