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Bayesian local influence analysis : with an application to stochastic frontiers

Tsionas, Efthymios G. - In: Economics letters 165 (2018), pp. 54-57

Persistent link: https://www.econbiz.de/10011973833

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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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...

Persistent link: https://www.econbiz.de/10009787073

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

Persistent link: https://www.econbiz.de/10013187281

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

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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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Multifactor granularity adjustments for market and counterparty risks

Fermanian, Jean-David; Florentin, Clément - In: Journal of risk 20 (2017/2018) 6, pp. 1-27

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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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Multi-factor granularity adjustments for market and counterparty risks

Fermanian, Jean-David; Florentin, Clément - 2016

Persistent link: https://www.econbiz.de/10012196291