Spectral measures of risk for international futures markets: A comparison of extreme value and Lévy models
Tài liệu tham khảo
Acerbi, 2004, Coherent representation of subjective risk aversion, 147
Anderson, 1952, Asymptotic Theory of Certain 'Goodness of Fit' Criteria Based on Stochastic Processes, The Annals of Mathematical Statistics, 23, 193, 10.1214/aoms/1177729437
Anderson, 1954, A test of Goodness of Fit, Journal of American Statistical Society, 49, 765, 10.1080/01621459.1954.10501232
Anna, 2005
Barndorff-Nielsen, 1995, Normal inverse Gaussian distributions and the modeling of stock returns, 353, 401
Barndorff-Nielson, 1977, Exponentially decreasing distributions for the logarithm of particle size, Proceedings of the Royal Society of London A, 353, 401, 10.1098/rspa.1977.0041
Bertoin, 1996
Bingham, 2001, Modeling asset returns with hyperbolic distributions, 1
Eberlein, 2002
Eberlein, 1998
Kyprianou, 2006
Prause, 1999
Sato, 1999
Schoutens, 2003