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On generalized pareto distributions with applications to income data

Arnold, Barry C.; Laguna, Leonor - 1977

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Value at risk under dependence and heavy tariledness : models with comon shocks

Ibragimov, Rustam Ju. (contributor); … - 2007

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A simple way of computing the inverse moments of a non-central chi-square random variable

Xie, Wen Zhi - In: Journal of econometrics 37 (1988) 3, pp. 389-393

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Portfolio rankings with skewness and kurtosis

Di Pierro, Massimo; Mosevich, J. - In: Computational finance and its applications III : …, (pp. 109-117). 2008

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Risk measurement performance of alternative distribution functions

Bali, Turan G.; Theodossiou, Panayiotis - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 411-437

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Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...