Fat-tailed models for risk estimation
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DOI: 10.5445/IR/1000023244
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- Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010.
"Tempered stable and tempered infinitely divisible GARCH models,"
Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013.
"CVaR sensitivity with respect to tail thickness,"
Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Kanamura, Takashi & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "A profit model for spread trading with an application to energy futures," Working Paper Series in Economics 27, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2011-05-30 (Banking)
- NEP-ECM-2011-05-30 (Econometrics)
- NEP-RMG-2011-05-30 (Risk Management)
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