Modeling fat tails in stock returns: a multivariate stable-GARCH approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00180-011-0270-4.pdf
Reference35 articles.
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3. Bonato M (2011) Robust estimation of skewness and kurtosis in distributions with infinite higher moments. Finance Res Lett 8: 77–87
4. Bradley BO, Taqqu MS (2003) Financial risk and heavy tails. In: Rachev ST (eds) Handbook of heavy tailed distributions in finance. Elsevier, North Holland, pp 35–103
5. Doganoglu T, Hartz C, Mittnik S (2007) Portfolio optimization when risk factors are conditionally varying and heavy tailed. Comput Econ 29(3–4): 333–354
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