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Financial Modeling Under Non-Gaussian Distributions

Author

Listed:
  • Eric Jondeau

    (University of Lausanne and Swiss Finance Institute)

  • Ser-Huang Poon

    (University of Manchester)

  • Michael Rockinger

    (University of Lausanne and Swiss Finance Institute)

Abstract

No abstract is available for this item.

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Suggested Citation

  • Eric Jondeau & Ser-Huang Poon & Michael Rockinger, 2007. "Financial Modeling Under Non-Gaussian Distributions," Springer Finance, Springer, number 978-1-84628-696-4, November.
    • Handle: RePEc:spr:sprfln:978-1-84628-696-4
    DOI: 10.1007/978-1-84628-696-4
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    Citations

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    Cited by:

    1. Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01592147, HAL.
    2. Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.
    3. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 529-550.
    4. Boris David & Gilles Zumbach, 2022. "Multivariate backtests and copulas for risk evaluation," Papers 2206.03896, arXiv.org, revised Nov 2023.
    5. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    6. Bryan Lim & Stefan Zohren & Stephen Roberts, 2020. "Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio," Papers 2002.02008, arXiv.org, revised Sep 2020.
    7. Joseph H. T. Kim & Heejin Kim, 2025. "Estimating Skewness and Kurtosis for Asymmetric Heavy-Tailed Data: A Regression Approach," Mathematics, MDPI, vol. 13(16), pages 1-21, August.
    8. Block, Alexander Souza & Righi, Marcelo Brutti & Schlender, Sérgio Guilherme & Coronel, Daniel Arruda, 2015. "Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks," Energy Economics, Elsevier, vol. 49(C), pages 23-32.

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