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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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Estimation of α-stable sub-gaussian distributions for asset returns
Kring, Sebastian; Račev, Svetlozar T.; Höchstötter, … - In: Risk assessment : decisions in banking and finance, (pp. 111-152). 2008
Persistent link: https://www.econbiz.de/10003781627
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Stable ETL optimal portfolios and extreme risk management
Račev, Svetlozar T.; Martin, R. Douglas; Racheva, Borjana - In: Risk assessment : decisions in banking and finance, (pp. 235-262). 2008
Persistent link: https://www.econbiz.de/10003781774
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Pricing tranches of a CDO and a CDS index : recent advances and furture research
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Risk assessment : decisions in banking and finance, (pp. 263-286). 2008
Persistent link: https://www.econbiz.de/10003781791