Investment & Pensions Europe: The Emergency Room - a critical review of fat-tailed models
15 April 2010Beyond performing in times of crisis, fat-tailed models need to adapt well in normal market conditions and differentiate between asset classes. Boryana Racheva-Iotova, President of FinAnalytica, compares fat-tailed models with GARCH based on stable Paretian distributions, t-distributions and extreme value theory.
Read the article at Investment & Pension Europe.
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