Estimation of multivariate asset models with jumps
Laura Ballotta, Gianluca Fusai, Angela Loregian and M. Fabricio Perez
| Year of publication: |
2019
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|---|---|
| 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
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| Subject: | Multivariate Lévy models | Jump models | Factor models | Principal Components | Maximum Likelihood | EM algorithm | Intra-horizon Value at Risk | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | CAPM | Multivariate Analyse | Multivariate analysis | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0022109018001321 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012140059