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Financial models with long-tailed distributions and volatility clustering

Known as: Stable and tempered stable distributions with volatility clustering - financial applications, Stable and tempered stable distributions with volatility clustering – financial applications 
Financial models with long-tailed distributions and volatility clustering have been introduced to overcome problems with the realism of classical… 
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Papers overview

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2017
2017
This study examines effects of additive outliers on asymmetric generalized autoregressive conditional heteroscedastic (GARCH… 
2014
2014
What is the macroeconomic effect of having a substantial number of firms close to default? This paper studies financial distress… 
2014
2014
With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and… 
2010
2010
Salmon prices exhibit substantial volatility. An understanding of the structure of volatility is of great interest since this is… 
2009
2009
ABSTRACT Derivative securities are frequently priced within the Black-Scholes methodology. Theoretically this entails maintaining… 
2008
2008
In the last several years the volatility skew has come to playa vital role in option pricing, hedging and risk management. As a… 
1996
1996
We examine Schweizer's (1991) locally risk-minimizing (LRM) hedge approach for hedging a European call in the case when the stock…