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Financial market models with Lévy processes and time-varying volatility
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 32 (2008) 7, pp. 1363-1378
Persistent link: https://www.econbiz.de/10008057698
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Time series analysis for financial market meltdowns
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 35 (2011) 8, pp. 1879-1892
Persistent link: https://www.econbiz.de/10009030547
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Tempered stable and tempered infinitely divisible GARCH models
Shin Kim, Young; Rachev, Svetlozar T.; Leonardo … - In: Journal of banking & finance 34 (2010) 9, pp. 2096-2110
Persistent link: https://www.econbiz.de/10008433527
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Approximation of skewed and leptokurtic return distributions
Scherer, Matthias; Rachev, Svetlozar T.; Kim, Young Shin; … - In: Applied financial economics 22 (2012) 16, pp. 1305-1317
Persistent link: https://www.econbiz.de/10009959892
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Option pricing with time-changed Lvy processes
Klingler, Sven; Kim, Young Shin; Rachev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 15, pp. 1231-1238
Persistent link: https://www.econbiz.de/10010154934
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012
Persistent link: https://www.econbiz.de/10010047416
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-98
Persistent link: https://www.econbiz.de/10009843787
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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
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Momentum strategies based on reward–risk stock selection criteria
Rachev, Svetlozar; Jašić, Teo; Stoyanov, Stoyan; … - In: Journal of banking & finance 31 (2007) 8, pp. 2325-2346
Persistent link: https://www.econbiz.de/10007757881
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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