Diagnosing and treating the fat tails in financial returns dataStefan Mittnik, Marc S. Paolella, Svetlozar T. Rachev2000-11-01articleJournal of Empirical Finance79 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsComplex Systems and Time Series AnalysisAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 79 citations exist upstream.References1991Conditional Heteroskedasticity in Asset Returns: A New Approach1965The Behavior of Stock-Market Prices1963The Variation of Certain Speculative Prices1997The variation of certain speculative prices1987Expected stock returns and volatility1993A long memory property of stock market returns and a new model1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return1982The stochastic behavior of common stock variances Value, leverage and interest rate effectsCited by2012Volatility clustering and long memory of financial time series and financial price model2007Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution2007Proper Conditioning for Coherent VaR in Portfolio Management2006A robust VaR model under different time periods and weighting schemes2003Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions2005An evaluation framework for alternative VaR-models2012Stable mixture GARCH models2009Backtesting value-at-risk based on tail losses