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Approximating the Distribution of Pareto Sums
5 references·1 citing·22 second hop
Approximating the Distribution of Pareto Sums (2005)Approximating the Distribution of Pareto …Handbook of heavy tailed distributions in finance (2003)Handbook of heavy tailed dist…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Statistics of Deadly Quarrels, 1809-1949 (1984)Statistics of Deadly Quarrels…Approximate revenue maximization with multiple items (2012)Approximate revenue maximizat…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Optimal Auction Design (1981)Full Extraction of the Surplus in Bayesian and Dominant Strategy Auctions (1988)Bundling Information Goods: Pricing, Profits, and Efficiency (1999)Duality and optimality of auctions for uniform distributions (2014)Pricing lotteries (2014)Mechanism Design for Subadditive Agents via an Ex Ante Relaxation (2016)Models for construction of multivariate dependence – a comparison study (2008)Tail dependence functions and vine copulas (2009)Modelling oil price and exchange rate co-movements (2011)Democratic Dominoes (1991)Armed Conflict and The Environment: A Critique of the Literature (1998)The Geography of Civil War (2002)A critical look at Lo's modified R/S statistic (1999)Regular variation of GARCH processes (2002)Arbitrage in fractional Brownian motion models (2003)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
this work references cited by second hop

References

  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1984Statistics of Deadly Quarrels, 1809-1949572 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited
  • 2003Handbook of heavy tailed distributions in finance351 cited

Cited by

  • 2012Approximate revenue maximization with multiple items85 cited

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