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Results 1-10 of 11.
Year of PublicationTitleAuthor(s)
2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate modelKim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico
2012Option pricing with regime switching tempered stable processesLin, Zuodong; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J.
2010Analysis of the intraday effects of economic releases on the currency marketRezania, Omid; Rachev, Svetlozar T.; Sun, Edward; Fabozzi, Frank J.
2011A profit model for spread trading with an application to energy futuresKanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J.
2011CVaR sensitivity with respect to tail thicknessStoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.
2011Tempered infinitely divisible distributions and processesBianchi, Michele Leonardo; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J.
2011Fat-tailed models for risk estimationStoyanov, Stoyan V.; Rachev, Svetlozar T.; Racheva-Iotova, Boryana; Fabozzi, Frank J.
2010Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical studyChernobai, Anna; Menn, Christian; Rachev, Svetlozar T.; Trück, Stefan
2011Tempered stable and tempered infinitely divisible GARCH modelsKim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J.
2010Bayesian inference for hedge funds with stable distribution of returnsGüner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; Fabozzi, Frank J.