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Extending the universality of the Heath-Jarrow-Morton model
Grant, Dwight M.; Vora, Gautam - In: Review of financial economics : RFE 15 (2006) 2, pp. 129-157
Persistent link: https://www.econbiz.de/10003328580
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Implementing no-arbitrage term structure of interest rate models in discrete time when interest rates are normally distributed
Grant, Dwight M.; Vora, Gautam - In: The journal of fixed income 8 (1999) 4, pp. 85-98
Persistent link: https://www.econbiz.de/10001432413
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Fractals in trade duration : capturing long-range dependence and heavy tailedness in modeling trade duration
Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Annals of finance 4 (2008) 2, pp. 217-241
Persistent link: https://www.econbiz.de/10003644932
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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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Estimation of α-stable sub-gaussian distributions for asset returns
Kring, Sebastian; Račev, Svetlozar T.; Höchstötter, … - In: Risk assessment : decisions in banking and finance, (pp. 111-152). 2008
Persistent link: https://www.econbiz.de/10003781627
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Stable distributions in the Black-Litterman approach to asset allocation
Giacometti, Rosella; Bertocchi, Marida; Račev, Svetlozar T. - In: Quantitative fund management, (pp. 359-375). 2009
Persistent link: https://www.econbiz.de/10003797016
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Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions
Biglova, Almira; Ortobelli, Sergio; Račev, Svetlozar T.; … - In: Optimizing optimization : the next generation of …, (pp. 117-141). 2010
Persistent link: https://www.econbiz.de/10003939075
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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; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of economics & business 59 (2007) 6, pp. 575-595
Persistent link: https://www.econbiz.de/10003615737
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An empirical examination of the return distribution characteristics of agency mortgage pass-through securities
Fabozzi, Frank J.; Racheva-Iotova, Borjana; Stoyanov, … - In: Applied financial economics 16 (2006) 15, pp. 1085-1094
Persistent link: https://www.econbiz.de/10003385567
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Momentum strategies based on reward-risk stock selection criteria
Račev, Svetlozar T.; Jašić, Teo; Stoyanov, Stoyan; … - In: Journal of banking & finance 31 (2007) 8, pp. 2325-2346
Persistent link: https://www.econbiz.de/10003522928