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Stochastic Orders and Moments of Absolute Value of Normal Random Variable

Comlan, Emile C. Bonaventure - 2018

It is already known, under certain conditions including stochastic inequalities, the comparison of moments. In this paper, we will study in detail the reverse of this problem, that is, the stochastic orderings implied by moments inequalities. We will limit our study to the absolute value of...

Persistent link: https://www.econbiz.de/10012921588

Uniform estimate for randomly weighted sums of dependent subexponential random variables

Liu, Yan; Zhang, Qinqin - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 303-318

Persistent link: https://www.econbiz.de/10011407748

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012819586

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515

Persistent link: https://www.econbiz.de/10012304579

Moment component analysis : an illustration with international stock markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 576-598

Persistent link: https://www.econbiz.de/10012249215

Orthant-based variance decomposition in investment portfolios

Giner, Javier - In: European journal of operational research : EJOR 291 (2021) 2, pp. 497-511

Persistent link: https://www.econbiz.de/10012495336

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019

dimensions. The new model generates realistic correlation forecasts even for large asset universes and captures rising pairwise …

Persistent link: https://www.econbiz.de/10012134234

Conditional fixed income correlations : skews and straddles

Aydemir, Zava - In: The journal of fixed income : JFI 30 (2021) 3, pp. 83-107

Persistent link: https://www.econbiz.de/10012423029

One-sided performance measures under Gram-Charlier distributions

León Valle, Ángel Manuel; Moreno, Manuel - In: Journal of banking & finance 74 (2017), pp. 38-50

Persistent link: https://www.econbiz.de/10011793629

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