Refine my results

Essay on asymmetry and tails : different approaches

Cazzaniga, Sofia ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO012.

This thesis investigates the role of extreme events and of tails in financial asset returns distribution. It is composed of three parts. Chapter 1 details the application of a fast convolution algorithm to compute high dimensional integrals in the context of multiplicative noise stochastic processes describing financial return. Chapter 2 deals with downside risk in the currency markets by means...