Estimation of multivariate asset models with jumps
Year of publication: |
2019
|
---|---|
Authors: | Ballotta, Laura ; Fusai, Gianluca ; Loregian, Angela ; Perez, M. Fabricio |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 54.2019, 5, p. 2053-2083
|
Subject: | Multivariate Lévy models | Jump models | Factor models | Principal Components | Maximum Likelihood | EM algorithm | Intra-horizon Value at Risk | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure | Volatilität | Volatility | Faktorenanalyse | Factor analysis | Stochastischer Prozess | Stochastic process | CAPM | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
-
Estimation of Multivariate Asset Models with Jumps
Loregian, Angela, (2018)
-
Generalized mean-reverting 4/2 Factor Model
Cheng, Yuyang, (2019)
-
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo, (2016)
- More ...
-
Estimation of Multivariate Asset Models with Jumps
Loregian, Angela, (2018)
-
Integrated structural approach to Credit Value Adjustment
Ballotta, Laura, (2019)
-
Risk management of climate impact for tourism operators : an empirical analysis on ski resorts
Ballotta, Laura, (2020)
- More ...