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Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank; Kalev, Petko - In: Annals of Finance 4 (2008) 2, pp. 217-241

Persistent link: https://www.econbiz.de/10005673948

Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J. - In: Journal of Economics and Business 59 (2007) 6, pp. 575-595

Persistent link: https://www.econbiz.de/10005302212

Momentum strategies based on reward-risk stock selection criteria

Rachev, Svetlozar; Jasic, Teo; Stoyanov, Stoyan; … - In: Journal of Banking & Finance 31 (2007) 8, pp. 2325-2346

Persistent link: https://www.econbiz.de/10005201139

Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572

Analyzing comovements in equity markets is important for risk diversification in portfolio management. Copulas have several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH model for analyzing the comovement of indexes in...

Persistent link: https://www.econbiz.de/10005046500