Similar Search Results

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378

Persistent link: https://www.econbiz.de/10011963681

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions

Biglova, Almira; Ortobelli, Sergio; Račev, Svetlozar T.; … - In: Optimizing optimization : the next generation of …, (pp. 117-141). 2010

Persistent link: https://www.econbiz.de/10003939075

MCMC-based estimation of Markov Switching ARMA-GARCH models

Henneke, Jan S.; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Applied economics 43 (2011) 1/3, pp. 259-271

Persistent link: https://www.econbiz.de/10009011159

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Leonardo Bianchi, Michele; Fabozzi, Frank J.; Račev, … - 2014

Persistent link: https://www.econbiz.de/10010414284

Sources of credit risk : evidence from credit default swaps

Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21

Persistent link: https://www.econbiz.de/10003422016

Modeling local trends with regime shifting models with time-varying probabilities

Focardi, Sergio M.; Fabozzi, Frank J.; Mazza, Davide - In: International review of financial analysis 66 (2019), pp. 1-11

Persistent link: https://www.econbiz.de/10012208942

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Bianchi, Michele Leonardo - 2014

In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to fit the volatility smile for exchange-traded options where the underlying is the main ‘Borsa Italiana' stock index. Given observed prices for the time...

Persistent link: https://www.econbiz.de/10013056568

Quantile-based inference for tempered stable distributions

Fallahgoul, Hasan A.; Veredas, David; Fabozzi, Frank J. - In: Computational economics 53 (2019) 1, pp. 51-83

Persistent link: https://www.econbiz.de/10012134536

Handbook of heavy-tailed distributions in asset management and risk management

Bianchi, Michele Leonardo; Stoyanov, Stoyan V.; … - 2019

Persistent link: https://www.econbiz.de/10012010807

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