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Klein, Ingo [Author]; Fischer, Matthias J. [Author]

Kurtosis ordering of the generalized secant hyperbolic distribution: a technical note

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http://hdl.handle.net/10419/29581

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Nürnberg: Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie, 2003
Ivanov, Roman V. [Author]

A credit-risk valuation under the variance-gamma asset return

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Basel: MDPI, 2018
Schlüter, Stephan [Author]; Fischer, Matthias J. [Author]

A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution

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http://hdl.handle.net/10419/29554

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Nürnberg: Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), 2009
Kiss, Tamás [Author]; Mazur, Stepan [Author]; Nguyen, Hoang [Author]; Österholm, Pär [Author]

Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations

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2023

Published in: Journal of forecasting ; 42(2023), 2 vom: März, Seite 347-368
Paolella, Marc S. [Author]; Polak, Pawel [Author]

Density and Risk Prediction with Non-Gaussian COMFORT Models

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https://ssrn.com/abstract=4280472

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[S.l.]: SSRN, 2022

Published in: Swiss Finance Institute Research Paper ; No. 22-88
Kiss, Tamás [Author]; Mazur, Stepan [Author]; Nguyen, Hoang [Author]; Österholm, Pär [Author]

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

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https://www.oru.se/globalassets/oru-sv/institutioner/hh/workingpapers/workingpapers2021/wp-9-2021.pdf

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Örebro, Sweden: Örebro University School of Business, [2021]

Published in: Working paper ; 2021,9
Mwaniki, Ivivi J. [Author]

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

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Abingdon: Taylor & Francis, 2017
Lucas, André [Author]; Schwaab, Bernd [Author]; Zhang, Xin [Author]

Modeling financial sector joint tail risk in the euro area

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http://hdl.handle.net/10419/129723

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Stockholm: Sveriges Riksbank, 2015
Lucas, André [Author]; Schwaab, Bernd [Author]; Zhang, Xin [Author]

Modeling financial sector joint tail risk in the euro area

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http://hdl.handle.net/10419/154270

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Frankfurt a. M.: European Central Bank (ECB), 2015
Lucas, Andre [Author]; Schwaab, Bernd [Author]; Zhang, Xin [Author]

Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

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http://hdl.handle.net/10419/87564

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Amsterdam and Rotterdam: Tinbergen Institute, 2013
Chen, Ying [Author]; Härdle, Wolfgang [Author]; Jeong, Seok-Oh [Author]

Nonparametric Risk Management With Generalized Hyperbolic Distributions

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Weierstrass Institute for Applied Analysis and Stochastics publication server, 2008
Chen, Ying [Author]; Härdle, Wolfgang Karl [Author]; Jeong, Seok-Oh [Author]

Nonparametric risk management with generalized hyperbolic distributions

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http://hdl.handle.net/10419/25020

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2005
Fischer, Matthias J. [Author]

Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation

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http://hdl.handle.net/10419/29595

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Nürnberg: Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie, 2003
Gapko, Petr [Author]; Šmíd, Martin [Author]

Modeling a distribution of mortgage credit losses

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http://hdl.handle.net/10419/83419

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Prague: Charles University in Prague, Institute of Economic Studies (IES), 2010
Gracianti, Giovani [Author]; Rui, Zhou [Author]; Li, Johnny Siu-Hang [Author]; Wu, Xueyuan [Author]

An assessment of model risk in pricing wind derivatives

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https://www.cambridge.org/core/services/aop-cambridge-core/content/view/D1FFCBCEA5EB22D5E66AF68E2EEEDAD3/S1748499523000192a.pdf/an_assessment_of_model_risk_in_pricing_wind_derivatives.pdf

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2023

Published in: Annals of actuarial science ; 17(2023), 3 vom: Nov., Seite 479-502
Borak, Szymon [Author]; Misiorek, Adam [Author]; Weron, Rafał [Author]

Models for heavy-tailed asset returns

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http://hdl.handle.net/10419/56648

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2010
Kiss, Tamás [Author]; Mazur, Stepan [Author]; Nguyen, Hoang [Author]; Österholm, Pär [Author]

Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances

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http://hdl.handle.net/10419/244583

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Örebro: Örebro University School of Business, 2021
Zhang, Xin [Author]; Creal, Drew [Author]; Koopman, Siem Jan [Author]; Lucas, Andre [Author]

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

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http://hdl.handle.net/10419/87070

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Amsterdam and Rotterdam: Tinbergen Institute, 2011
Chen, Ying [Author]; Härdle, Wolfgang Karl [Author]; Spokoiny, Vladimir [Author]

GHICA: Risk analysis with GH distributions and independent components

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http://hdl.handle.net/10419/25161

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2006
Chen, Ying [Author]; Härdle, Wolfgang [Author]; Jeong, Seok-Oh [Author]

Nonparametric risk management with generalized hyperbolic distributions

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Weierstrass Institute for Applied Analysis and Stochastics publication server, 2005

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