A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions
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Volume (Year): 15 (2008)
Issue (Month): 3 (December)
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References listed on IDEAS
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- Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, School of Economics and Management, University of Aarhus.
- Michael Sørensen & Julie Lyng Forman, 2007.
"The Pearson diffusions: A class of statistically tractable diffusion processes,"
CREATES Research Papers
2007-28, School of Economics and Management, University of Aarhus.
- Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465.
- Verhoeven, Peter & McAleer, Michael, 2004.
"Fat tails and asymmetry in financial volatility models,"
Mathematics and Computers in Simulation (MATCOM),
Elsevier, vol. 64(3), pages 351-361.
- Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo.
- Yuichi Nagahara, 2003. "Non-Gaussian Filter and Smoother Based on the Pearson Distribution System," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 721-738, November.
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