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Publication date: 1 February 2003

DIMITRIS PSYCHOYIOS, GEORGE SKIADOPOULOS and PANAYOTIS ALEXAKIS

The volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors…

352

Abstract

The volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors compare and contrast four approaches to stochastic volatility to determine which is most appropriate to each of these various needs.

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The Journal of Risk Finance, vol. 4 no. 3
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 April 2003

SERGIO M. FOCARDI and FRANK J. FABOZZI

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in…

285

Abstract

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:

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The Journal of Risk Finance, vol. 5 no. 1
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 4 September 2007

371

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Disaster Prevention and Management: An International Journal, vol. 16 no. 4
Type: Research Article
ISSN: 0965-3562

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Article
Publication date: 1 May 2003

148

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Disaster Prevention and Management: An International Journal, vol. 12 no. 2
Type: Research Article
ISSN: 0965-3562

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