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math.ST2017
Statistical foundations for assessing the difference between the classical and weighted-Gini betas
Nadezhda Gribkova, Ričardas Zitikis
The `beta' is one of the key quantities in the capital asset pricing model (CAPM). In statistical language, the beta can be viewed as the slope of the regression line fitted to fin…
math.ST2011
Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Abdelhakim Necir, Ričardas Zitikis
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, pract…