Analysing Financial Returns by Using Regression Models Based on Non‐Symmetric Stable Distributions
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DOI: 10.1111/1467-9876.00161
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Citations
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Cited by:
- W. D. Walls & Jordi McKenzie, 2020.
"Black swan models for the entertainment industry with an application to the movie business,"
Empirical Economics, Springer, vol. 59(6), pages 3019-3032, December.
- W. D. Walls & J. McKenzie, "undated". "Black Swan Models for the Entertainment Industry with an Application to the Movie Business," Working Papers 2018-04, Department of Economics, University of Calgary, revised 26 Jan 2018.
- Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005.
"An evaluation framework for alternative VaR-models,"
Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
- Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers.
- Wolff, Christian & Lehnert, Thorsten, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
- G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 607-646, June.
- Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
- Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
- Lambert, Philippe, 2021. "Fast Bayesian inference using Laplace approximations in nonparametric double additive location-scale models with right- and interval-censored data," Computational Statistics & Data Analysis, Elsevier, vol. 161(C).
- Lehnert, Thorsten & Wolff, Christian C. P., 2004. "Scale-consistent Value-at-Risk," Finance Research Letters, Elsevier, vol. 1(2), pages 127-134, June.
- Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
- Adcock, C.J. & Shutes, K., 2005. "An analysis of skewness and skewness persistence in three emerging markets," Emerging Markets Review, Elsevier, vol. 6(4), pages 396-418, December.
- Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
- G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2006. "An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 97-113.
- G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 607-646.
- Julie Carreau & Yoshua Bengio, 2004. "Estimation de densité conditionnelle lorsque l'hypothèse de normalité est insatisfaisante," CIRANO Working Papers 2004s-31, CIRANO.
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