It is well-known in empirical nance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often signi cantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can di er...

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...

A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...