Pages that link to "Item:Q4646480"
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The following pages link to Empirical properties of asset returns: stylized facts and statistical issues (Q4646480):
Displaying 50 items.
- Maximum likelihood estimation of the Markov-switching GARCH model (Q1623509) (← links)
- Modeling tails of aggregate economic processes in a stochastic growth model (Q1623510) (← links)
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution (Q1627671) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations (Q1655508) (← links)
- Empirical properties of a heterogeneous agent model in large dimensions (Q1655655) (← links)
- Impact of value-at-risk models on market stability (Q1655705) (← links)
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models (Q1658343) (← links)
- An agent-based model of stock markets incorporating momentum investors (Q1672973) (← links)
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall (Q1689024) (← links)
- Nonparametric estimation for compound Poisson process via variational analysis on measures (Q1703856) (← links)
- Nonlinear stochastic interacting dynamics and complexity of financial gasket fractal-like lattice percolation (Q1708150) (← links)
- An algorithmic look at financial volatility (Q1712041) (← links)
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits (Q1713470) (← links)
- Price dynamics in an order-driven market with Bayesian learning (Q1723051) (← links)
- Optimal trade execution under jump diffusion process: a mean-VaR approach (Q1727117) (← links)
- High-dimensional covariance matrices in elliptical distributions with application to spherical test (Q1731770) (← links)
- Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach (Q1734547) (← links)
- Likelihood-based risk estimation for variance-gamma models (Q1742843) (← links)
- Properties and comparison of risk capital allocation methods (Q1751856) (← links)
- Mean-VaR portfolio optimization: a nonparametric approach (Q1753495) (← links)
- Robust and sparse banking network estimation (Q1754723) (← links)
- Nonlinear joint dynamics between prices of crude oil and refined products (Q1783278) (← links)
- On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes (Q1785463) (← links)
- Log-robust portfolio management with parameter ambiguity (Q1789607) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Options pricing with time changed Lévy processes under imprecise information (Q1794512) (← links)
- A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing (Q1800789) (← links)
- Price drops, fluctuations, and correlation in a multi-agent model of stock markets (Q1847458) (← links)
- Fat tails and colored noise in financial derivatives (Q1850392) (← links)
- More statistical properties of order books and price impact (Q1873946) (← links)
- Statistical analysis of strait time index and a simple model for trend and trend reversal (Q1873970) (← links)
- Prices, debt and market structure in an agent-based model of the financial market (Q1991937) (← links)
- Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders (Q1994238) (← links)
- Speculative behavior and the dynamics of interacting stock markets (Q1994607) (← links)
- Capturing deep tail risk via sequential learning of quantile dynamics (Q2007859) (← links)
- Stylized facts of the Indian stock market (Q2011044) (← links)
- Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints (Q2044823) (← links)
- Monitoring for a change point in a sequence of distributions (Q2054495) (← links)
- Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models (Q2058890) (← links)
- On the classification of financial data with domain agnostic features (Q2060754) (← links)
- New fat-tail normality test based on conditional second moments with applications to finance (Q2062369) (← links)
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (Q2063058) (← links)
- Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach (Q2064596) (← links)
- Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages (Q2064610) (← links)
- Test on the linear combinations of covariance matrices in high-dimensional data (Q2066518) (← links)
- Aumann-Serrano index of risk in portfolio optimization (Q2067257) (← links)
- Dynamics of the price behavior in stock markets: a statistical physics approach (Q2067455) (← links)
- Option pricing under the subordinated market models (Q2073586) (← links)
- Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect (Q2096246) (← links)
