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Dominicy, Yves; Ilmonen, Pauliina; Veredas, David - 2014

Persistent link: https://www.econbiz.de/10011289450

The joint distribution of stock returns is not elliptical

Chicheportiche, Rémy; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-23

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Sequential estimation of shape parameters in multivariate dynamic models

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 177 (2013) 2, pp. 233-249

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Modelling random vectors of dependent risks with different elliptical components

Landsman, Zinoviy; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 1, pp. 6-24

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Tail conditional moments for elliptical and log-elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 71 (2016), pp. 179-188

Persistent link: https://www.econbiz.de/10011630646

Multivariate tail conditional expectation for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011597276

Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series

Maruotti, Antonello; Punzo, Antonio; Bagnato, Luca - In: Journal of financial econometrics 17 (2019) 1, pp. 91-117

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A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

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Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors

Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-14

We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty other papers referencing it, including the...

Persistent link: https://www.econbiz.de/10011619035

Multivariate stochastic dominance applied to sector-based portfolio selection

Kouaissah, Noureddine; Ortobelli Lozza, Sergio - In: IMA journal of management mathematics 32 (2021) 2, pp. 139-160

Persistent link: https://www.econbiz.de/10012434397