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Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

A comparison of the GB2 and skewed generalized log-t distributions with an application in finance

Higbee, Joshua D.; McDonald, James B. - In: Journal of econometrics 240 (2024) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10015075089

Reconciling mean-variance portfolio theory with non-Gaussian returns

Lassance, Nathan - In: European journal of operational research : EJOR 297 (2022) 2, pp. 729-740

Persistent link: https://www.econbiz.de/10013259928

Application of a Log Likelihood Object in GARCH with T-Distributed Errors and EGARCH with Generalised Error Distribution Model to the Monthly Returns of an Equity Hedge Fund

Guirguis, Michel - 2019

In this article, we have tested the volatility of the monthly returns of an equity hedge fund for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...

Persistent link: https://www.econbiz.de/10012890419

Estimating the marginal law of a time series with applications to heavy-tailed distributions

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 412-425

Persistent link: https://www.econbiz.de/10010337860

Reexamining the likelihood of extreme returns in international stock market

Wang, Yun-Yi; Kao, Tzu-Chuan; Lin, Chu-Hsiung; Wei, Tsun-Jen - In: Investment management and financial innovations 12 (2015) 4, pp. 106-114

Persistent link: https://www.econbiz.de/10011575057

A novel jump diffusion model based on SGT distribution and its applications

Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92

Persistent link: https://www.econbiz.de/10011647763

Copula model estimation and test of inventory portfolio pledge rate

Zhou, Li; Dong, Jing - In: International journal of business and economics … 3 (2014) 4, pp. 150-154

Persistent link: https://www.econbiz.de/10010494128

Inversions distribution and testing correlation changes for rates of return

Czekała, Mariusz; Kuryłek, Zbigniew - In: European research studies 24 (2021) 3B, pp. 633-650

Persistent link: https://www.econbiz.de/10012666807

Improved estimates of higher-order comoments and implications for portfolio selection

Martellini, Lionel; Ziemann, Voker - In: The review of financial studies 23 (2010) 4, pp. 1467-1502

Persistent link: https://www.econbiz.de/10003959855

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