References

No references inside the corpus for this window.

Cited by

• 2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model65 cited
• 2015Quanto option pricing in the presence of fat tails and asymmetric dependence34 cited
• 2019Modelling tail risk with tempered stable distributions: an overview27 cited
• 2015Tempered stable Ornstein– Uhlenbeck processes: A practical view26 cited
• 2012A copula–GARCH model for macro asset allocation of a portfolio with commodities26 cited
• 2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL25 cited
• 2012An Empirical Comparison of Alternative Credit Default Swap Pricing Models25 cited
• 2015Valuation of wind power distributed generation by using Longstaff–Schwartz option pricing method24 cited
• 2015Reward-risk momentum strategies using classical tempered stable distribution23 cited
• 2016Culturomics as a data playground for tests of selection: Mathematical approaches to detecting selection in word use22 cited
• 2014Exponential stock models driven by tempered stable processes20 cited
• 2014CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM17 cited