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Semi-parametric modelling in finance: theoretical foundations

Citations

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Cited by:

  1. Landsman, Zinoviy & Makov, Udi, 2012. "Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 94-98.
  2. Mahmoud Hamada & Emiliano A. Valdez, 2008. "CAPM and Option Pricing With Elliptically Contoured Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 387-409, June.
  3. Landsman, Zinoviy, 2010. "On the Tail Mean-Variance optimal portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 547-553, June.
  4. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2010. "BL-GARCH model with elliptical distributed innovations," Post-Print halshs-00368340, HAL.
  5. Loperfido, Nicola, 2024. "The skewness of mean–variance normal mixtures," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
  6. Valdez, Emiliano A. & Chernih, Andrew, 2003. "Wang's capital allocation formula for elliptically contoured distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 517-532, December.
  7. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270719, HAL.
  8. Jeroen Rombouts & Marno Verbeek, 2009. "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 737-745.
  9. Denis Belomestny & Hilmar Mai & John Schoenmakers, 2015. "Generalized Post-Widder inversion formula with application to statistics," Working Papers 2015-10, Center for Research in Economics and Statistics.
  10. Szulga, Jerzy, 2009. "On selfdecomposable Stieltjes transforms," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 748-752, March.
  11. Dipierro, Serena & Valdinoci, Enrico, 2021. "Description of an ecological niche for a mixed local/nonlocal dispersal: An evolution equation and a new Neumann condition arising from the superposition of Brownian and Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 575(C).
  12. Carol Alexander & Andrew Scourse, 2004. "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 637-648.
  13. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2019. "Calibration for Weak Variance-Alpha-Gamma Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1151-1164, December.
  14. Packham, Natalie & Kalkbrener, Michael & Overbeck, Ludger, 2014. "Default probabilities and default correlations under stress," Frankfurt School - Working Paper Series 211, Frankfurt School of Finance and Management.
  15. Buckley, Ian & Saunders, David & Seco, Luis, 2008. "Portfolio optimization when asset returns have the Gaussian mixture distribution," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1434-1461, March.
  16. Dongdong Hu & Hasanjan Sayit & Svetlozar T. Rachev, 2021. "Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\'evy Motions," Papers 2109.02872, arXiv.org, revised Feb 2024.
  17. Shuangzhe Liu & Chris Heyde, 2008. "On estimation in conditional heteroskedastic time series models under non-normal distributions," Statistical Papers, Springer, vol. 49(3), pages 455-469, July.
  18. Landsman, Zinoviy, 2004. "On the generalization of Esscher and variance premiums modified for the elliptical family of distributions," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 563-579, December.
  19. Hosseini, Reshad & Sra, Suvrit & Theis, Lucas & Bethge, Matthias, 2016. "Inference and mixture modeling with the Elliptical Gamma Distribution," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 29-43.
  20. Grothe, Oliver & Schmidt, Rafael, 2010. "Scaling of Lévy–Student processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1455-1463.
  21. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation in Intensity Models," Working Papers wp2006_0605, CEMFI.
  22. Fima C. Klebaner & Zinoviy Landsman, 2009. "Option Pricing for Log-Symmetric Distributions of Returns," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 339-357, September.
  23. Landsman, Zinoviy, 2006. "On the generalization of Stein's Lemma for elliptical class of distributions," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1012-1016, May.
  24. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
  25. Dongdong Hu & Hasanjan Sayit & Frederi Viens, 2023. "Pricing basket options with the first three moments of the basket: log-normal models and beyond," Papers 2302.08041, arXiv.org, revised Feb 2023.
  26. Polonik, Wolfgang & Yao, Qiwei, 2008. "Testing for multivariate volatility functions using minimum volume sets and inverse regression," Journal of Econometrics, Elsevier, vol. 147(1), pages 151-162, November.
  27. Landsman, Zinoviy & Neslehová, Johanna, 2008. "Stein's Lemma for elliptical random vectors," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 912-927, May.
  28. Michael R. Metel & Traian A. Pirvu & Julian Wong, 2017. "Risk Management under Omega Measure," Risks, MDPI, vol. 5(2), pages 1-14, May.
  29. Yang, Xinxin & Zheng, Xinghua & Chen, Jiaqi, 2021. "Testing high-dimensional covariance matrices under the elliptical distribution and beyond," Journal of Econometrics, Elsevier, vol. 221(2), pages 409-423.
  30. Punzo, Antonio & Bagnato, Luca, 2022. "Dimension-wise scaled normal mixtures with application to finance and biometry," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
  31. Buchmann, Boris & Lu, Kevin W. & Madan, Dilip B., 2020. "Self-decomposability of weak variance generalised gamma convolutions," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 630-655.
  32. N.H. Bingham & John M. Fry & Rüdiger Kiesel, 2010. "Multivariate elliptic processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 352-366.
  33. Arslan, Olcay, 2005. "A new class of multivariate distributions: Scale mixture of Kotz-type distributions," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 18-28, November.
  34. Csiszar, Villo & Móri, Tamás F. & Székely, Gábor J., 2005. "Chebyshev-type inequalities for scale mixtures," Statistics & Probability Letters, Elsevier, vol. 71(4), pages 323-335, March.
  35. Mark D. Flood & George G. Korenko, 2013. "Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty," Working Papers 13-02, Office of Financial Research, US Department of the Treasury.
  36. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018. "Calibration for Weak Variance-Alpha-Gamma Processes," Papers 1801.08852, arXiv.org, revised Jul 2018.
  37. Abel Elizalde, 2006. "Credit Risk Models II: Structural Models," Working Papers wp2006_0606, CEMFI.
  38. González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio, 2014. "Tail risk in energy portfolios," Energy Economics, Elsevier, vol. 46(C), pages 422-434.
  39. Yugu Xiao & Emiliano A. Valdez, 2015. "A Black-Litterman asset allocation model under Elliptical distributions," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 509-519, March.
  40. Shuangzhe Liu & Chris Heyde & Wing-Keung Wong, 2011. "Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models," Statistical Papers, Springer, vol. 52(3), pages 621-632, August.
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