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Heterogeneous beliefs and risk-neutral skewness
Friesen, Geoffrey C.; Zhang, Yi; Zorn, Thomas S. - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 4, pp. 851-872
Persistent link: https://www.econbiz.de/10009672401
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Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A. - In: Journal of mathematical finance 6 (2016) 4, pp. 626-659
Persistent link: https://www.econbiz.de/10011656984