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Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 06/2019, Volume 524, pp. 737 - 775
The return time series of Credit Default Swaps (CDS) display possibly the highest excess kurtosis and skewness of any asset class in capital markets. Capturing... 
Hawkes process | Markov chain | CDS | Jump diffusion | Credit default swap | Hierarchical clustering | Leptokurtosis | CALIBRATION | MARKET | PHYSICS, MULTIDISCIPLINARY | RISK | STOCK RETURNS | BOND | SPECTRA | SPREAD | Markov processes | Models | Financial markets | Analysis | Credit default swaps | Liquidity (Finance)
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 06/2018, Volume 499, pp. 457 - 471
The quotient of random variables with normal distributions is examined and proven to have power law decay, with density , with the coefficient depending on the... 
Quotient of normals | Returns on stocks | Tail of distribution | Heavy tails | Fat tails | Asset price change | Supply/demand | Leptokurtosis | PHYSICS, MULTIDISCIPLINARY | MODEL | FLOW
Journal Article
Biometrika, ISSN 0006-3444, 06/2018, Volume 105, Issue 2, pp. 271 - 284
SUMMARY High-dimensional data are often most plausibly generated from distributions with complex structure and leptokurtosis in some or all components.... 
Constrained l | Robustness | minimization | Minimax rate | Thresholding | Leptokurtosis | GRAPHICAL MODELS | BIOLOGY | MATHEMATICAL & COMPUTATIONAL BIOLOGY | Constrained l-minimization | STATISTICS & PROBABILITY | REGULARIZATION | Minimax technique | Estimating techniques | Covariance | Estimators | Convergence | Constrained ℓ1-minimization
Journal Article
Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena, ISSN 0960-0779, 07/2016, Volume 88, pp. 3 - 18
Journal Article
Soft Computing, ISSN 1432-7643, 11/2019, Volume 23, Issue 22, pp. 11867 - 11881
Journal Article
Journal of Economic Behavior and Organization, ISSN 0167-2681, 1998, Volume 33, Issue 2, pp. 143 - 165
This paper develops a model of the social and economic interaction of speculators in a securities or foreign exchange market. Both chartist and fundamentalist... 
Bubbles | Herd behavior | Leptokurtosis | FINANCIAL-MARKETS | STOCK RETURNS | ORIGIN | herd behavior | leptokurtosis | PREDICTABLE BEHAVIOR | RISK | ECONOMICS | bubbles | Economic aspects | Foreign exchange market | Speculation
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2008, Volume 146, Issue 2, pp. 275 - 292
Journal Article
ACM Transactions on Modeling and Computer Simulation (TOMACS), ISSN 1049-3301, 08/2018, Volume 28, Issue 3, pp. 1 - 21
Journal Article
Journal of Business & Economic Statistics, ISSN 0735-0015, 04/2011, Volume 29, Issue 2, pp. 282 - 294
Journal Article
The European Journal of Finance, ISSN 1351-847X, 10/2016, Volume 22, Issue 13, pp. 1292 - 1319
We develop and test a new approach to assess defined benefit (DB) pension plan solvency risk in the presence of extreme market movements. Our method captures... 
value at risk | pension fund solvency | risk estimation | C58 | leptokurtosis | G23 | G17 | RETURNS | RISK | INTERNATIONAL ASSET ALLOCATION | LIABILITIES | PORTFOLIO SELECTION | STOCK | BUSINESS, FINANCE | MODELS | TIME-SERIES | Economic models | Defined benefit plans | Discount rates | Pension plans
Journal Article
Journal of Financial Econometrics, ISSN 1479-8409, 2015, Volume 13, Issue 1, pp. 188 - 221
This article considers a GARCH process, generally named as GARCH-X, in which the additional covariate is specified as a positive fractionally integrated... 
GARCH-X | GARCH | Fractionally integrated process | Long memory property | Leptokurtosis | long memory property | VOLATILITY HEAVY MODELS | fractionally integrated process | EXCHANGE-RATES | PERSISTENCE | RETURN | BUSINESS, FINANCE | FRACTIONALLY-INTEGRATED-PROCESSES | WEAK-CONVERGENCE | leptokurtosis | TIME-SERIES | ECONOMICS | HETEROSKEDASTICITY | CENTRAL-LIMIT-THEOREM
Journal Article
Spatial Statistics, ISSN 2211-6753, 08/2018, Volume 26, pp. 1 - 20
Spatial–temporal modeling is commonly used to explain the dependence of environmental and socio-economic variables over space and time. Early published works... 
Bayesian estimation | Dynamic variance | Spatial–temporal model | NO[formula omitted] | Leptokurtosis | FIELDS | EVENTS | Spatial-temporal model | STATISTICS & PROBABILITY | DEPENDENCE | NO2 | GEOSCIENCES, MULTIDISCIPLINARY | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | REMOTE SENSING | TEMPERATURE | EXTREMES | TREND
Journal Article
Ecosphere, ISSN 2150-8925, 06/2013, Volume 4, Issue 6, pp. art73 - 19
Several hypotheses predict that individual differences in migration and dispersal are related to individual differences in routine behavior associated with... 
Markov process | risk taking | foraging behavior | Salvelinus fontinalis | personality | movement ecology | leptokurtosis | dispersal | boldness | brook charr | Movement ecology | Brook charr | Dispersal | Personality | Risk taking | Boldness | Foraging behavior | Leptokurtosis | MOVEMENT ECOLOGY PARADIGM | INDIVIDUAL VARIATION | RATES | EVOLUTION | STATE-SPACE MODELS | TACTICS | TROUT | ECOLOGY | TRAITS | RANGE | Prey | Hypotheses | Vegetation | Fish
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2002, Volume 110, Issue 2, pp. 383 - 415
In this paper, we consider time series with the conditional heteroskedasticities that are given by nonlinear functions of integrated processes. Such time... 
Nonstationarity | ARCH | Conditional heteroskedasticity | Nonlinearity | Volatility clustering | Leptokurtosis | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | nonstationarity | nonlinearity | leptokurtosis | SOCIAL SCIENCES, MATHEMATICAL METHODS | conditional heteroskedasticity | volatility clustering | ECONOMICS
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 2002, Volume 40, Issue 3, pp. 435 - 445
Kurtosis can be measured in more than one way. A modification of Geary's measure of kurtosis is shown to be more sensitive to kurtosis in the center of the... 
Kurtosis | Normality | Shapiro–Wilk | Geary | Leptokurtosis | Shapiro-Wilk | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | leptokurtosis | STATISTICS & PROBABILITY | SCALE | kurtosis | normality
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 2007, Volume 77, Issue 11, pp. 1158 - 1164
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2007, Volume 31, Issue 9, pp. 2751 - 2769
This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results... 
Time-varying jump intensity | Volatility clustering | Leverage effect | Volatility feedback | Leptokurtosis | BUSINESS, FINANCE | time-varying jump intensity | RETURNS | leptokurtosis | ASYMMETRIC VOLATILITY | leverage effect | RISK | volatility clustering | ECONOMICS | volatility feedback | OPTIONS | FINANCIAL CRISIS | Leverage
Journal Article
Theoretical Population Biology, ISSN 0040-5809, 2005, Volume 67, Issue 4, pp. 241 - 256
Journal Article