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A new approach for using Lévy processes for determining high-frequency value-at-risk predictions

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: European financial management : the journal of the … 15 (2009) 2, pp. 340-361

Persistent link: https://www.econbiz.de/10003824799

Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Sun, Wei; Račev, Svetlozar T.; Stojanov, Stojan Dimitrov; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10009513633

A new approach to modeling co-movement of international equity markets : evidence of unconditional copula-based stimulation of tail dependence

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Empirical economics : a journal of the Institute for … 36 (2009) 1, pp. 201-229

Persistent link: https://www.econbiz.de/10003804574

Fractals in trade duration : capturing long-range dependence and heavy tailedness in modeling trade duration

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Annals of finance 4 (2008) 2, pp. 217-241

Persistent link: https://www.econbiz.de/10003644932

Fractals or I.I.D. : evidence of long-range dependence and heavy tailedness from modeling German equity market returns

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of economics & business 59 (2007) 6, pp. 575-595

Persistent link: https://www.econbiz.de/10003615737

Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J. - In: Journal of Economics and Business 59 (2007) 6, pp. 575-595

Persistent link: https://www.econbiz.de/10005302212

A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, … - In: Empirical economics : a journal of the Institute for … 36 (2009) 1, pp. 201

Persistent link: https://www.econbiz.de/10008170141

Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J. - In: Journal of economics and business 59 (2007) 6, pp. 575

Persistent link: https://www.econbiz.de/10007859708

Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan V.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10009949920

A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J. - In: European Financial Management 15 (2009) 2, pp. 340-361

"A new approach for using Lévy processes to compute value-at-risk (VaR) using high-frequency data is presented in this paper. The approach is a parametric model using an ARMA(1,1)-GARCH(1,1) model where the tail events are modelled using fractional Lévy stable noise and Lévy stable...

Persistent link: https://www.econbiz.de/10005063477