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Market efficiency, the Pareto wealth distribution, and the Lévy distribution of stock returns
Levy, Moshe - 2006
Persistent link: https://www.econbiz.de/10009674148
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Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns
Bingham, Nick H.; Schmidt, Rafael - In: From stochastic calculus to mathematical finance : the …, (pp. 69-90). 2006
Persistent link: https://www.econbiz.de/10003287150
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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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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Evaluation of portfolio returns in Fama-French model using quantile regression under asymmetric Laplace distribution
Kittawit Autchariyapanitkul; Somsak Chanaim; Songsak … - In: Econometrics of risk, (pp. 233-244). 2015
Persistent link: https://www.econbiz.de/10010498535
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Risk measures and their applications in asset management
Bi̇rbi̇l, Ş. İlker; Frenk, Hans; Kaynar, Bahar; … - In: The VaR implementation handbook, (pp. 311-338). 2009
Persistent link: https://www.econbiz.de/10003827082
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The distribution of returns and risk forecasting
Bilson, John F. - In: Risk management : a modern perspective, (pp. 557-581). 2006
Persistent link: https://www.econbiz.de/10003271736
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How do the differences among order distributions affect the rate of investment returns and the contract rate
Yamamoto, Shingo; Wada, Shihomi; Kawagoe, Toshiji - In: Artificial economics : agent-based methods in finance, …, (pp. 227-237). 2006
Persistent link: https://www.econbiz.de/10003174425
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Portfolio analysis with symmetric stable Paretian returns
Gamba, Andrea - In: Current topics in quantitative finance : with 23 tables, (pp. 48-69). 1999
Persistent link: https://www.econbiz.de/10001442910
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Modelling option-implied return distributions: a generalized log-logistic approximation
Hallerbach, Winfried G. - In: Current topics in quantitative finance : with 23 tables, (pp. 80-92). 1999
Persistent link: https://www.econbiz.de/10001442926