Browsing All of EconStor by Author Rachev, Svetlozar T.
Showing results 1 to 12 of 12
Year of Publication | Title | Author(s) |
2005 | Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals | Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol |
2010 | Time series analysis for financial market meltdowns | Young Shin Kim; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan; Fabozzi, Frank J. |
2010 | Bayesian inference for hedge funds with stable distribution of returns | Güner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; Fabozzi, Frank J. |
2010 | Analysis of the intraday effects of economic releases on the currency market | Rezania, Omid; Rachev, Svetlozar T.; Sun, Edward; Fabozzi, Frank J. |
2010 | Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study | Chernobai, Anna; Menn, Christian; Rachev, Svetlozar T.; Trück, Stefan |
2011 | CVaR sensitivity with respect to tail thickness | Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. |
2011 | A profit model for spread trading with an application to energy futures | Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. |
2011 | Tempered infinitely divisible distributions and processes | Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. |
2011 | Fat-tailed models for risk estimation | Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Racheva-Iotova, Boryana; Fabozzi, Frank J. |
2011 | Tempered stable and tempered infinitely divisible GARCH models | Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J. |
2012 | Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model | Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico |
2012 | Option pricing with regime switching tempered stable processes | Lin, Zuodong; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. |