Functional gradient descent for financial time series with an application to the measurement of market risk
Year of publication: |
2005
|
---|---|
Authors: | Audrino, Francesco ; Barone-Adesi, Giovanni |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 29.2005, 4, p. 959-978
|
Saved in:
Saved in favorites
Similar items by person
-
Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations
Audrino, Francesco, (2003)
-
The stability of factor models of interests rates
Audrino, Francesco, (2003)
-
A multivariate FGD technique to improve VaR computation in equity markets
Audrino, Francesco, (2002)
- More ...