Add to ORKGThe aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretically unfounded and may cause significant misunderstandings and fallacies in model interpretation. The main reason seems to be a wrong understanding of the concept of the distributional tail. Also in models based on real data it seems more reasonable to concentrate on the central part of the distribution not tails. Powered by TCPDF (www.tcpdf.org
This title is written for the numerate nonspecialist, and hopes to serve three purposes. First it ga...
This thesis focuses on the analysis of heavy-tailed distributions, which are widely applied to model...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
This book focuses on general frameworks for modeling heavy-tailed distributions in economics, financ...
Many of the concepts in theoretical and empirical finance developed over the past decades – includin...
Abstract. Since the work of Mandelbrot in the 1960’s there has accumu-lated a great deal of empirica...
V této práci popíšeme rozdělení s těžkými chvosty a ukážeme nutné a postačující podmínky pro jejich ...
This work aims at underlying the importance of a correct modelling of the heavy-tail behavior of ext...
This textbook highlights the many practical uses of stable distributions, exploring the theory, nume...
Abstract. In this paper, we analyze the returns of stocks com-prising the German stock index DAX wit...
This article aims at underlying the importance of a correct modelling of the heavy-tail behavior of ...
The recent financial and economic crises have shown the dangers of assuming that the risks are nearl...
Optimization problems depending on a probability measure correspond to many economic and financial a...
The normal probability distribution as assumption for financial returns have been recognized as inap...
Although understanding tail behavior of distributions is important in many areas, such as telecommun...
This title is written for the numerate nonspecialist, and hopes to serve three purposes. First it ga...
This thesis focuses on the analysis of heavy-tailed distributions, which are widely applied to model...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
This book focuses on general frameworks for modeling heavy-tailed distributions in economics, financ...
Many of the concepts in theoretical and empirical finance developed over the past decades – includin...
Abstract. Since the work of Mandelbrot in the 1960’s there has accumu-lated a great deal of empirica...
V této práci popíšeme rozdělení s těžkými chvosty a ukážeme nutné a postačující podmínky pro jejich ...
This work aims at underlying the importance of a correct modelling of the heavy-tail behavior of ext...
This textbook highlights the many practical uses of stable distributions, exploring the theory, nume...
Abstract. In this paper, we analyze the returns of stocks com-prising the German stock index DAX wit...
This article aims at underlying the importance of a correct modelling of the heavy-tail behavior of ...
The recent financial and economic crises have shown the dangers of assuming that the risks are nearl...
Optimization problems depending on a probability measure correspond to many economic and financial a...
The normal probability distribution as assumption for financial returns have been recognized as inap...
Although understanding tail behavior of distributions is important in many areas, such as telecommun...
This title is written for the numerate nonspecialist, and hopes to serve three purposes. First it ga...
This thesis focuses on the analysis of heavy-tailed distributions, which are widely applied to model...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...