Portfolio Modeling with Heavy Tailed Random Vectors

By Mark M. Meerschaert, Hans-Peter Scheffler. 2003

57 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/de9054ef24b83b88b2a19daf20127aa9530a65ce

How researchers see this paper

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

In Economics and Econometrics

1. Hans-Peter Scheffler
2. Mark M. Meerschaert

In Finance

1. Mark M. Meerschaert
2. Hans-Peter Scheffler

Citations in the corpus

• Parameter Estimation for the Truncated Pareto Distribution (2006, unknown): “Parameter Estimation for the Truncated Pareto Distribution”
• Wavelet estimation for operator fractional Brownian motion (2015, unknown): “Our results are related to the literature on the estimation of operator stable laws via eigenvalues and eigenvectors of sample quadratic forms (see Meerschaert and Scheffler (1999, 2003)).”
• Triangular array limits for continuous time random walks (2008, background): “The Lévy measure or jump intensity describes the constituent price jumps in this model, and thus allows the coding of dependence between various stocks or other financial issues; see [38] for an illustration.”