Financial Risk Management Using Asymmetric Heavy-tailed Distributions and Nonlinear Dependence Structures of Asset Returns under Discontinuous Dynamics

Alaa El-Shazly

Chapter 2 in Econometric Methods and Their Applications in Finance, Macro and Related Fields, 2014, pp 31-49 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionThe NIG DistributionThe Copula ModelApplicationConclusionReferences

Keywords: Financial Econometrics; Applied Econometrics; Econometric Theory and Methods (search for similar items in EconPapers)
Date: 2014
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