Similar Search Results - EconBiz

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Persistent link: https://www.econbiz.de/10009576319

Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Handbook of finance

Fabozzi, Frank J. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003712479

Fixed income mathematics

Fabozzi, Frank J. - 1988

Persistent link: https://www.econbiz.de/10000829201

The mathematics of financial modeling and investment management

Focardi, Sergio M.; Fabozzi, Frank J. - 2004

Persistent link: https://www.econbiz.de/10001788054

The handbook of fixed income securities

Fabozzi, Frank J. (contributor); Mann, Steven V. (contributor) - 2005 - 7. ed.

Persistent link: https://www.econbiz.de/10002166116

Encyclopedia of financial models

Fabozzi, Frank J. (contributor) - 2013

Persistent link: https://www.econbiz.de/10009682898

Computational aspects of portfolio risk estimation in volatile markets : a survey

Fabozzi, Frank J.; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 1, pp. 103-120

Persistent link: https://www.econbiz.de/10009728412

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

Financial economics

Fabozzi, Frank J.; Neave, Edwin H.; Zhou, Guofu - 2012

grounding in microeconomic theory. This calculus based text explores the theoretical framework for analyzing the decisions by …

Persistent link: https://www.econbiz.de/10009412743

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