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Geophysical Research Letters, ISSN 0094-8276, 03/2007, Volume 34, Issue 5, pp. L05403 - n/a
Journal Article
Applied Mathematics and Computation, ISSN 0096-3003, 2009, Volume 215, Issue 6, pp. 2103 - 2119
Value-at-Risk (VaR) has evolved as one of the most prominent measures of downside risk in financial markets. Zhang and Cheng [M.-H. Zhang, Q.-S. Cheng, An... 
Nonlinear time series | Stock Markets | Fat-tailed distributions | Markov-switching | Gaussian mixture | Value-at-Risk | Forecasting | MATHEMATICS, APPLIED | FORECASTS | STOCK RETURNS | MODELS | INTEREST-RATES | GARCH | HETEROSKEDASTICITY | VOLATILITY | MOMENTS | Analysis | Financial markets
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 06/2019, Volume 524, pp. 687 - 695
In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the... 
Econophysics | Conditional Value-at-Risk | Gaussian Copula | Portfolio theory | Generalized Error Distribution | Generalized Correlation Coefficient | PHYSICS, MULTIDISCIPLINARY | STATISTICS | EXPECTED SHORTFALL | CONTAGION | MODEL | FAT-TAILED DISTRIBUTIONS | VALUE-AT-RISK | OPTIMIZATION | SELECTION | VOLATILITY | LIKELIHOOD | Financial analysis | Risk assessment | Financial risk | Methods
Journal Article
Geophysical Research Letters, ISSN 0094-8276, 01/2008, Volume 35, Issue 2, pp. L02612 - n/a
The distribution of tsunami interevent times is analyzed using global and site‐specific (Hilo, Hawaii) tsunami catalogs. An empirical probability density... 
Nonlinear Geophysics | Probability distributions, heavy and fat-tailed | recurrence | tsunami | probability | HAZARD | GEOSCIENCES, MULTIDISCIPLINARY | EARTHQUAKES | SEISMICITY | AFTERSHOCKS
Journal Article
DECISION ANALYSIS, ISSN 1545-8490, 03/2019, Volume 16, Issue 1, pp. 67 - 85
Johnson quantile-parameterized distributions (J-QPDs) are parameterized by any symmetric percentile triplet (SPT) (e.g., the 10th-50th-90th) and support... 
SUPPLEMENT | practice | modeling | MANAGEMENT | power-law probability distribution | subjective probability | decision analysis | uncertainty | MATHEMATICAL CONTRIBUTIONS | BURR | quantile-probability data | EVOLUTION | power-law | MEMOIR | heavy-tailed distribution | quantile function | SIZE DISTRIBUTION | fat-tailed distribution
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 05/2017, Volume 474, pp. 301 - 311
We study a stochastic process defined by the interaction strength for the return to the mean and a stochastic term proportional to the magnitude of the... 
Relaxation | Correlation | Steady-state | Fokker–Planck | Fat-tailed | PHYSICS, MULTIDISCIPLINARY | MODEL | Fokker-Planck | WEALTH | Stochastic processes | Physics - Statistical Mechanics
Journal Article
Journal of King Saud University - Science, ISSN 1018-3647, 10/2019, Volume 31, Issue 4, pp. 1167 - 1174
This article deals with goodness-of-fit test for the Cauchy distribution. Six new tests based on Kullback-Leibler information are proposed, and shown to be... 
Fat-tailed distributions | Entropy | Financial returns | ESTIMATOR | STATISTICS | MULTIDISCIPLINARY SCIENCES
Journal Article
Journal of Physics A: Mathematical and Theoretical, ISSN 1751-8113, 02/2014, Volume 47, Issue 6, pp. 65003 - 23
Many solutions for scientific problems rely on finding the first (largest) eigenvalue and eigenvector of a particular matrix. We explore the distribution of... 
MECHANICS | PHYSICS, MULTIDISCIPLINARY | random network | NETWORKS | PHYSICS, MATHEMATICAL | eigenvalue problem | fat-tailed distribution | GRAPHS | Networks | Construction | Methodology | Mathematical analysis | Eigenvalues | Holes | Eigenvectors | Gaussian | Vectors (mathematics)
Journal Article
Journal of Economic Interaction and Coordination, ISSN 1860-711X, 04/2018, Volume 13, Issue 1, pp. 173 - 193
Firms grow and decline by relatively lumpy jumps which cannot be accounted by the cumulation of small, "atom-less", independent shocks. Rather "big" episodes... 
Kriging meta-modeling | Near-orthogonal latin hypercubes | ABMs validation | Fat-tailed distributions | Variance-based sensitivity analysis | INDUSTRIAL STRUCTURES | OPTIMIZATION | ECONOMICS | MODEL | SIMULATION | EFFICIENT | Economic models | Sensitivity analysis
Journal Article
Journal of Geophysical Research - Solid Earth, ISSN 0148-0227, 10/2009, Volume 114, Issue B10, pp. B10309 - n/a
We analyze the distribution of volcanic earthquake recurrence intervals in the Vesuvio, Campi Flegrei, and Hawaii regions and compare it with tectonic... 
spatial and temporal | Seismology | Volcano seismology | Nonlinear Geophysics | Scaling | Earthquake interaction, forecasting, and prediction | Probability distributions, heavy and fat-tailed | volcanic earthquakes | intertimes | GEOCHEMISTRY & GEOPHYSICS
Journal Article
Geophysical Research Letters, ISSN 0094-8276, 07/2009, Volume 36, Issue 14, pp. L14803 - n/a
Journal Article
Applied Mathematics Letters, ISSN 0893-9659, 10/2012, Volume 25, Issue 10, pp. 1452 - 1457
Rapid development of time series models addressing volatility has recently been reported in the financial literature. Often the standardized residuals from an... 
Fat tailed innovation distribution | Kurtosis | GARCH model | Random coefficient autoregressive model | Variance | MATHEMATICS, APPLIED
Journal Article
Cogent Economics & Finance, ISSN 2332-2039, 01/2017, Volume 5, Issue 1
Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series. The... 
tempered stable distribution | disturbances | GARCH model | fat-tailed distribution | Aggregation | Simulation | Body fat | Normal distribution | Time series | Securities markets | Specification | Modelling | Stochastic models | Regression analysis
Journal Article
Economic Modelling, ISSN 0264-9993, 02/2016, Volume 53, pp. 278 - 288
The Markov Regime-Switching Generalized autoregressive conditional heteroskedastic (MRS-GARCH) model is a widely used approach to model the financial... 
GARCH model | Fat-tailed distribution | Regime-switching | Tempered stable distribution | RETURNS | RISK | OIL PRICE | RATES | CONDITIONAL HETEROSKEDASTICITY | TIME-SERIES | DYNAMICS | ECONOMICS | LONG MEMORY | STUDENT-T | VOLATILITY
Journal Article
Water Resources Research, ISSN 0043-1397, 07/2009, Volume 45, Issue 7, pp. W07416 - n/a
Journal Article
Geophysical Research Letters, ISSN 0094-8276, 08/2008, Volume 35, Issue 16, pp. L16102 - n/a
Journal Article
Economic Modelling, ISSN 0264-9993, 01/2018, Volume 68, pp. 611 - 621
We estimate the CAPM model on European stock market data, allowing for asymmetric and fat-tailed return distributions using independent and identically... 
Minimum variance portfolio | CAPM | Asymmetric fat-tailed distributions | Non-Gaussian distribution | CAPM, Non-Gaussian distribution, Asymmetric fat-tailed distributions, Minimum variance portfolio | CRITERIA | PRICES | RISK | CROSS-SECTION | INFERENCE | MARKET EQUILIBRIUM | ECONOMICS | SELECTION | VOLATILITY | Stock markets
Journal Article