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Modelling and predicting market risk with Laplace-Gaussian mixture distributions

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Applied financial economics 16 (2006) 15, pp. 1145-1162

Persistent link: https://www.econbiz.de/10003385575

Modelling and predicting market risk with Laplace–Gaussian mixture distributions

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Applied financial economics 16 (2006) 15, pp. 1145

Persistent link: https://www.econbiz.de/10007629952

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215

Approximation of skewed and leptokurtic return distributions

Scherer, Matthias; Račev, Svetlozar T.; Kim, Young Shin; … - In: Applied financial economics 22 (2012) 16/18, pp. 1305-1316

Persistent link: https://www.econbiz.de/10009625374

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746

Option pricing with time-changed Lvy processes

Klingler, Sven; Kim, Young Shin; Rachev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010154934

Approximation of skewed and leptokurtic return distributions

Scherer, Matthias; Rachev, Svetlozar T.; Kim, Young Shin; … - In: Applied financial economics 22 (2012) 16, pp. 1305-1317

Persistent link: https://www.econbiz.de/10009959892