Stable modeling of value at risk

78 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Bibliography on stable distributions, processes and related topics (2004, unknown): “Kidmose (2001), Kidmose (2002), Chitre et al. (2006), Chitre et al. (2004), Chitre et al. (2005), Chitre et al. (2007), Zha and Qiu (2006a), Zha and Qiu (2006b), Kyriakakis et al. (1999), Petropulu et al. (1996), Peterson et al. (2003), Georgiou et al. (1999), Achim et al. (2001), Taroudakis et al.…”
Fisher's Information for Discretely Sampled Lévy Processes (2004, background): “sence of jumps in asset prices [see A¨ıt–Sahalia (2002) and Carr and Wu (2003)], interest rate modelling [see e.g., Eeberlein abd Raible (1999)], risk management [see e.g., Eberlein et al. (1998) and Khindanova et al. (2001)], optimal portfolio choice [see e.g., Kallsen (2000), Rachev and Han (2000)”
A comparison of some univariate models for Value-at-Risk and Expected Shortfall (2007, unknown): “An interesting alternative is the characteristic function-based method used in [23], where the fit in the tails is particularly emphasized with a very fine sampling of the characteristic function in a neighborhood of the origin (for theoretical properties of this class of estimators, see also [30]).”