Handbook of heavy tailed distributions in finance

By Svetlozar T. Rachev. 2003

814 citations recorded by the source corpus.

Subfields: Applied Mathematics, Civil and Structural Engineering

View Paper: https://www.semanticscholar.org/paper/1c8fc04fd60efd83bba0babcde09ee06999c1f46

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Citations in the corpus

Variance-Gamma approximation via Stein's method (2013, methodology): “For large m and n we have S ≈ N(0, 1) and T ≈ N(0, 1), so we can apply the O(m−1/2+n−1/2) bivariate central limit convergence rate (see, for example, Reinert and Röllin [38]) to bound the quantities |Egk(S, T )−Egk(Z1, Z2)|, k = 1, 2, 3.”
Dependence patterns across financial markets: a mixed copula approach (2006, methodology): “Below we show how we compute VaR using the mixed copula model and compare our results to that computed under the Gaussian assumption.9 9 Embrechts et al. (2003) is a general reference on using copulas in risk management.”
Multivariate hydrological frequency analysis using copulas (2004, methodology): “Copulas have been widely used in the financial domain in order to determine the value at risk [see, e.g., Embrechts et al., 2002, 2003; Bouyé et al., 2000].”
Inhomogeneous Dependence Modeling with Time-Varying Copulae (2009, neutral): “0 Cðu; . . . ; uÞ=u, where u 2 (0, 1] and bC is the survival copula of C (see Joe 1997 and Embrechts, Lindskog, and McNeil 2003b).”
International diversification: A copula approach (2011, neutral): “1See Solnik (1974); Ingersoll (1987) Chapter 4; Carrieri et al.”
Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (2009, neutral): “∗∗∗ Email address: ysun@math.wsu.edu 925 often not explicitly accessible.”
The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008, neutral): “Stochastic volatility models where the volatility process is a sum of independent CIR processes (Pearson diffusions with Gamma marginals) were considered by Bollerslev & Zhou (2002) and Bibby & Sørensen (2003).”
MAX-STABLE MODELS FOR MULTIVARIATE EXTREMES (2012, background): “Another stochastic interpretation of this model is provided in Embrechts et al. (2003). Example 3.”