Log-normal continuous cascade model of asset returns: aggregation properties and estimation

By Bacry E.  

Quantitative Finance, Vol. 13, Iss. 5, 2013-05 ,pp. : 795-818

Routledge Ltd

Access to resources Recommend Favorite

MaxVaR for non-normal and heteroskedastic returns

By Bhattacharyya Malay   Misra Nityanand   Kodase Bharat  

Quantitative Finance, Vol. 9, Iss. 8, 2009-12 ,pp. : 925-935

Routledge Ltd

Access to resources Recommend Favorite

Modelling rain risk: a multi-order Markov chain model approach

By Stowasser Markus  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 13, Iss. 1, 2011-12 ,pp. : 45-60

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Time series and cross-section parameter stability in the market model: the implications for event studies

By Coutts J. Andrew   Mills Terence C.   Roberts Jennifer  

The European Journal of Finance, Vol. 3, Iss. 3, 1997-09 ,pp. : 243-259

Routledge Ltd

Access to resources Recommend Favorite

Models of asset returns: changes of pattern from high to low event frequency

By Töyli Juuso   Sysi-aho Marko   Kaski Kimmo  

Quantitative Finance, Vol. 4, Iss. 3, 2004-06 ,pp. : 373-382

Routledge Ltd

Access to resources Recommend Favorite