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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10009576319
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
Persistent link: https://www.econbiz.de/10009710216
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Comparing the impulse response functions of different models
Mignacca, Domenico - 1995
Persistent link: https://www.econbiz.de/10000906666
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Is money neutral? : Some evidence for Italy
Cubadda, Gianluca; Mignacca, Domenico - 1994
Persistent link: https://www.econbiz.de/10000896980
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Is US real GNP chaotic? : On using the BDS test to decide whether an ARMA model for the US GNP generates IID residuals
Mignacca, Domenico; Gallegati, Mauro - 1994
Persistent link: https://www.econbiz.de/10000896987
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Multi-period optimal asset allocation for a multi-currency hedged portfolio
Mignacca, Domenico; Meucci, Attilio - In: Computational methods in decision-making, economics and …, (pp. 3-14). 2010
Persistent link: https://www.econbiz.de/10009153104
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A note so traditional interpretation of UK macroeconomic fluctuations
Gallegati, Mauro - In: Economic notes : economic review of Banca Monte dei … 25 (1996) 1, pp. 77-110
Persistent link: https://www.econbiz.de/10001203453
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Nonlinear dynamics and European GNP
Delli Gatti, Domenico (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 1, pp. 43-59
Persistent link: https://www.econbiz.de/10001769697
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10010310075
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10010954935