The Brownian motion of molecules at thermal equilibrium usually has a finite correlation time and will eventually be randomized after a long delay time, so that their displacement follows the Gaussian ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...

Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted ...