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The theory of geometric stable distributions and its use in modeling financial data

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  • Kozubowski, Tomasz J.
  • Rachev, Svetlozar T.

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  • Kozubowski, Tomasz J. & Rachev, Svetlozar T., 1994. "The theory of geometric stable distributions and its use in modeling financial data," European Journal of Operational Research, Elsevier, vol. 74(2), pages 310-324, April.
    • Handle: RePEc:eee:ejores:v:74:y:1994:i:2:p:310-324
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    Cited by:

    1. Tomasz Kozubowski, 2000. "Exponential Mixture Representation of Geometric Stable Distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(2), pages 231-238, June.
    2. Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Svetlozar T. Rachev & Hasanjan Sayit & Ruoyu Sun, 2021. "Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models," Papers 2111.04311, arXiv.org, revised Feb 2023.
    3. Gabriela Oliveira & Wagner Barreto-Souza & Roger W. C. Silva, 2021. "Convergence and inference for mixed Poisson random sums," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 751-777, July.
    4. Kozubowski, Tomasz J. & Panorska, Anna K., 1996. "On moments and tail behavior of v-stable random variables," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 307-315, September.
    5. Fleten, Stein-Erik & Lindset, Snorre, 2008. "Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1680-1689, March.
    6. Halvarsson, Daniel, 2013. "On the Estimation of Skewed Geometric Stable Distributions," Ratio Working Papers 216, The Ratio Institute.
    7. Kozubowski, Tomasz J. & Meerschaert, Mark M. & Panorska, Anna K. & Scheffler, Hans-Peter, 2005. "Operator geometric stable laws," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 298-323, February.
    8. Kozubowski, Tomasz J. & Panorska, Anna K., 1998. "Weak Limits for Multivariate Random Sums," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 398-413, November.
    9. Gawronski Wolfgang, 2001. "On The Unimodality Of Geometric Stable Laws," Statistics & Risk Modeling, De Gruyter, vol. 19(4), pages 405-418, April.

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