4.3 Article

Elliptical tempered stable distribution

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Statistics & Probability

Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions

Hassan Fallahgoul et al.

JOURNAL OF STATISTICAL THEORY AND PRACTICE (2014)

Article Mathematics, Applied

Normal tempered stable copula

Young Shin Kim et al.

APPLIED MATHEMATICS LETTERS (2013)

Article Operations Research & Management Science

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Young Shin Kim et al.

ANNALS OF OPERATIONS RESEARCH (2012)

Article Statistics & Probability

TEMPERED INFINITELY DIVISIBLE DISTRIBUTIONS AND PROCESSES

M. L. Bianchi et al.

THEORY OF PROBABILITY AND ITS APPLICATIONS (2011)

Article Mathematics, Applied

Tempered stable Levy motion and transient super-diffusion

Boris Baeumer et al.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2010)

Article Business, Finance

Risk measurement performance of alternative distribution functions

Turan G. Bali et al.

JOURNAL OF RISK AND INSURANCE (2008)

Article Business, Finance

The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR

Turan G. Bali et al.

JOURNAL OF BANKING & FINANCE (2008)

Article Business, Finance

A generalized extreme value approach to financial risk measurement

Turan G. Bali

JOURNAL OF MONEY CREDIT AND BANKING (2007)

Article Statistics & Probability

Tempering stable processes

Jan Rosinski

STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2007)

Article Operations Research & Management Science

A conditional-SGT-VaR approach with alternative GARCH models

Turan G. Bali et al.

ANNALS OF OPERATIONS RESEARCH (2007)

Article Business, Finance

From value at risk to stress testing: The extreme value approach

FM Longin

JOURNAL OF BANKING & FINANCE (2000)