Financial Risk and Heavy Tails

By Brendan O. Bradley, Murad S. Taqqu. 2003

167 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/54d39af461eea717697a58b76b3660b1e6ab95b3

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Citations in the corpus

The simple economics of bank fragility (2005, background): “Embrechts et al. (2002) and Bradley and Taqqu (2003) discuss non-normal distribution settings in which correlation can be used and cannot be used as a measure of dependence.”
Momentum strategies based on reward-risk stock selection criteria (2007, background): “et al., 1999; Rockafellar and Uryasev, 2002, Bradley and Taqqu, 2003 ).”
The Impact of Skewness and Fat Tails on the Asset Allocation Decision (2011, unknown): “Another case in which the MVO and the M-CVaR optimization are equivalent is the multivariate elliptical distribution with fat tails (see, e.g., Bradley and Taqqu 2003).”
Portfolio optimization for student t and skewed t returns (2010, methodology): “Bradley and Taqqu [2002]. The Normal and Student t distributions are elliptical; the skewed t is not when γ 6= 0.”
A comparison of some univariate models for Value-at-Risk and Expected Shortfall (2007, unknown): “Unfortunately this result provides little guidance in the finite sample case (see also [3] for a related discussion).”
Properties and Estimation of Asymmetric Exponential Power Distribution (2007, background): “…e¤ect) are not normally distributed the QQ plot of ex post innovations typically shows that the t in the upper tail is good but the lower tail is heavier than that of the normal distribution (see Figure 6 of Bradley and Taqqu (2003) for NASDAQ, Figure 4.2 of Christo¤ersen (2003) for S&P500 ).”
Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions (2011, background): “less negative: recall by (13) that we do not use a sign change in the definition of ES.”
Machine Learning of Space-Fractional Differential Equations (2018, background): “Many types of Lévy processes – such as α-stable processes – are well known and heavily used in financial modeling due to their heavy tails [37, 11, 4].”