Multi-tail generalized elliptical distributions for asset returns

Econometrics Journal

Volumn 12, Issue 2, 2009, Pages 272-291

  Kring, Sebastian ^a   Rachev, Svetlozar T ^a,b,c   Höchstötter, Markus ^a   Fabozzi, Frank J ^d   Bianchi, Michele Leonardo ^e  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c FinAnalytica Inc   (United States)

^d YALE SCHOOL OF MANAGEMENT   (United States)

^e BANK OF ITALY   (Italy)

Author keywords

Generalized elliptical distributions; Likelihood ratio test; Risk management; t Distributions; Varying tail parameter; Stable distributions

Indexed keywords

EID: 68149157171     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2009.00290.x     Document Type: Article

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