ChapterPrediction of Financial Downside-Risk with Heavy-Tailed Conditional DistributionsStefan Mittnik2003OAPrediction of Financial Downside-Risk with Heavy-Tailed Conditional DistributionsStefan Mittnik, Marc S. Paolella2003-01-01chapterElsevier eBooks62 citationsgreenNo 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 — 62 citations exist upstream.References1965The Behavior of Stock-Market Prices1963The Variation of Certain Speculative Prices1986Modelling the persistence of conditional variances1990Stationarity and Persistence in the GARCH(1,1) Model1992Inequality Constraints in the Univariate GARCH Model1997ARCH Models and Financial Applications1993Modeling asset returns with alternative stable distributions199613 Financial applications of stable distributionsCited by2006An Econometric Analysis of Emission Trading Allowances2012Stable mixture GARCH models2009Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review2018Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity2007Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distributions2016Value-at-Risk under Lévy GARCH models: Evidence from global stock markets