Add to ORKGIt is of great importance for those in charge of managing risk to understand how financial asset returns are distributed. Practitioners often assume for convenience that the distribution is normal
This study investigates the level of risk due to fat tails of the return distribution and the change...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Risk management critically depends on the assumptions made about the distribution of stock returns. ...
textabstractIn this paper we study some prominent downside risk measures for heavy tailed distributi...
The likelihood of systemic risk presents a challenge for modern finance. In particular, it is import...
One of the stylized facts about the behaviour of financial returns is that they tend to exhibit more...
One of the stylized facts about the behaviour of financial returns is that they tend to exhibit more...
open access articleSystematic tail risk is considered an important determinant of expected returns o...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
This study investigates the level of risk due to fat tails of the return distribution and the change...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Risk management critically depends on the assumptions made about the distribution of stock returns. ...
textabstractIn this paper we study some prominent downside risk measures for heavy tailed distributi...
The likelihood of systemic risk presents a challenge for modern finance. In particular, it is import...
One of the stylized facts about the behaviour of financial returns is that they tend to exhibit more...
One of the stylized facts about the behaviour of financial returns is that they tend to exhibit more...
open access articleSystematic tail risk is considered an important determinant of expected returns o...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
This study investigates the level of risk due to fat tails of the return distribution and the change...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
Risk management critically depends on the assumptions made about the distribution of stock returns. ...