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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

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apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock … independently and identically distributed (i.i.d). It is therefore concluded that the generalized Pareto distribution (GPD) is a …

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Is there long term memory in Uropean stock markets?

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Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns

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A model for stock market returns : non-Gaussian fluctuations and financial factors

Craven, B. D.; Islam, Sardar M. N. - In: Review of quantitative finance and accounting 30 (2008) 4, pp. 355-370

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Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions

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Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

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Dynamic mixture models for financial time series

Haas, Markus - 2004 - 1. Aufl.

Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...

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Multifractal analysis of realized volatilities in Chinese stock market

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Value at risk (VaR) analysis for fat tails and long memory in returns

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