Add to ORKGThe paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
Many of the concepts in theoretical and empirical finance developed over the past decades – includin...
In this paper, we discuss max-sum equivalence and convolution closure of heavy-tailed distributions....
textabstractPortfolio risk is in an important way driven by 'abnormal' returns emanating from heavy ...
Abstract. Since the work of Mandelbrot in the 1960’s there has accumu-lated a great deal of empirica...
For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tail...
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. I...
This paper focuses on the study of portfolio diversification and value at risk analysis under heavy-...
We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of ...
We discuss risk diversification in multivariate regularly varying models and provide explicit formul...
This book focuses on general frameworks for modeling heavy-tailed distributions in economics, financ...
In this paper, a calibrated scenario generation model for multivariate risk factors with heavy-taile...
This thesis develops novel Bayesian methodologies for statistical modelling of heavy-tailed data. H...
This paper presents an analysis of diversification and portfolio value at risk for heavy-tailed depe...
This dissertation has 4 chapters, in which we attempt to explore and analyze the structure of extrem...
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. I...
Many of the concepts in theoretical and empirical finance developed over the past decades – includin...
In this paper, we discuss max-sum equivalence and convolution closure of heavy-tailed distributions....
textabstractPortfolio risk is in an important way driven by 'abnormal' returns emanating from heavy ...
Abstract. Since the work of Mandelbrot in the 1960’s there has accumu-lated a great deal of empirica...
For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tail...
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. I...
This paper focuses on the study of portfolio diversification and value at risk analysis under heavy-...
We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of ...
We discuss risk diversification in multivariate regularly varying models and provide explicit formul...
This book focuses on general frameworks for modeling heavy-tailed distributions in economics, financ...
In this paper, a calibrated scenario generation model for multivariate risk factors with heavy-taile...
This thesis develops novel Bayesian methodologies for statistical modelling of heavy-tailed data. H...
This paper presents an analysis of diversification and portfolio value at risk for heavy-tailed depe...
This dissertation has 4 chapters, in which we attempt to explore and analyze the structure of extrem...
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. I...
Many of the concepts in theoretical and empirical finance developed over the past decades – includin...
In this paper, we discuss max-sum equivalence and convolution closure of heavy-tailed distributions....
textabstractPortfolio risk is in an important way driven by 'abnormal' returns emanating from heavy ...