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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
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Relative deviation metrics and the problem of strategy replication
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Ortobelli, Sergio - In: Journal of banking & finance 32 (2008) 2, pp. 199-206
Persistent link: https://www.econbiz.de/10003647097
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CVaR sensitivity with respect to tail thickness
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of banking & finance 37 (2013) 3, pp. 977-988
Persistent link: https://www.econbiz.de/10010065457
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Relative deviation metrics and the problem of strategy replication
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Ortobelli, Sergio - In: Journal of banking & finance 32 (2008) 2, pp. 199-206
Persistent link: https://www.econbiz.de/10007908348
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Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 34 (2010) 9, pp. 2096-2109
Persistent link: https://www.econbiz.de/10008732109
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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
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Financial market models with Lévy processes and time-varying volatility
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 32 (2008) 7, pp. 1363-1378
Persistent link: https://www.econbiz.de/10003749233
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Momentum strategies based on reward-risk stock selection criteria
Račev, Svetlozar T.; Jašić, Teo; Stoyanov, Stoyan; … - In: Journal of banking & finance 31 (2007) 8, pp. 2325-2346
Persistent link: https://www.econbiz.de/10003522928
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Financial market models with Lévy processes and time-varying volatility
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 32 (2008) 7, pp. 1363-1378
Persistent link: https://www.econbiz.de/10008057698
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Time series analysis for financial market meltdowns
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 35 (2011) 8, pp. 1879-1892
Persistent link: https://www.econbiz.de/10009030547