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A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
Giacometti, Rosella; Bertocchi, Marida; Račev, Svetlozar T. - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 85-93
Persistent link: https://www.econbiz.de/10009501697
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Time series analysis for financial market meltdowns
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 35 (2011) 8, pp. 1879-1891
Persistent link: https://www.econbiz.de/10009247416
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Balancing energy strategies in electricity portfolio management
Möller, Christoph; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Energy economics 33 (2011) 1, pp. 2-11
Persistent link: https://www.econbiz.de/10009260887
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Comment on "Weak convergence to a matrix stochastic integral with stable processes"
Paulauskas, Vygantas; Račev, Svetlozar T.; Fabozzi, … - In: Econometric theory 27 (2011) 4, pp. 907-911
Persistent link: https://www.econbiz.de/10009311663
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A three-factor model for mortality modeling
Russo, Vincenzo; Giacometti, Rosella; Račev, Svetlozar T. - In: North American actuarial journal 19 (2015) 2, pp. 129-141
Persistent link: https://www.econbiz.de/10011420799
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Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 1, pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
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Metrization of stochastic dominance rules
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10009624503
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Approximation of skewed and leptokurtic return distributions
Scherer, Matthias; Račev, Svetlozar T.; Kim, Young Shin; … - In: Applied financial economics 22 (2012) 16/18, pp. 1305-1316
Persistent link: https://www.econbiz.de/10009625374
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of banking & finance 37 (2013) 3, pp. 977-988
Persistent link: https://www.econbiz.de/10009708724