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Statistical distribution
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138
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1
Chi-square-type distributions for heavy-tailed variates
Mittnik, Stefan
;
Kurz-Kim, Jeong-Ryeol
;
Račev, Svetlozar T.
-
1996
Persistent link: https://www.econbiz.de/10000955839
Saved in:
2
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
3
Portfolio selection in the presence of heavy-tailed asset returns
Doganoglu, Toker
;
Mittnik, Stefan
;
Račev, Svetlozar T.
- In:
Contributions to modern econometrics : from data …
,
(pp. 51-64)
.
2002
Persistent link: https://www.econbiz.de/10001905062
Saved in:
4
The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach
Tokat, Yesim
;
Račev, Svetlozar T.
;
Schwartz, Eduardo S.
- In:
Journal of economic dynamics & control
27
(
2003
)
6
,
pp. 937-969
Persistent link: https://www.econbiz.de/10001734458
Saved in:
5
Handbook of heavy tailed distributions in finance
Račev, Svetlozar T.
-
2003
-
First edition
Persistent link: https://www.econbiz.de/10001711455
Saved in:
6
Testing for unit roots in the presence of infinite-variance disturbances
Mittnik, Stefan
;
Račev, Svetlozar T.
;
Kurz-Kim, Jeong-Ryeol
-
1999
Persistent link: https://www.econbiz.de/10001475941
Saved in:
7
Testing for structural breaks in time series regressions with heavy-tailed disturbances
Mittnik, Stefan
;
Račev, Svetlozar T.
;
Samorodnitsky, …
- In:
Datamining und computational finance : Ergebnisse des …
,
(pp. 115-142)
.
2000
Persistent link: https://www.econbiz.de/10001484303
Saved in:
8
Portfolio management with stable distributions
Račev, Svetlozar T.
;
Han, Seonkoo
- In:
Mathematical methods of operations research
51
(
2000
)
2
,
pp. 341-352
Persistent link: https://www.econbiz.de/10001488325
Saved in:
9
Stable modeling of market and credit value at risk
Račev, Svetlozar T.
;
Schwartz, Eduardo S.
;
Khindanova, …
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 249-328)
.
2003
Persistent link: https://www.econbiz.de/10001882089
Saved in:
10
Portfolio choice theory with non-Gaussian distributed returns
Ortobelli, Sergio
;
Huber, Isabella
;
Račev, Svetlozar T.
; …
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 547-594)
.
2003
Persistent link: https://www.econbiz.de/10001882197
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