Mean-reverting 4/2 principal components model : financial applications
Year of publication: |
2021
|
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Authors: | Escobar, Marcos ; Gong, Zhenxian |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 8, Art.-No. 141, p. 1-23
|
Subject: | 4/2 stochastic volatility model | moment-generating function | principal component analysis | risk management calculations | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Finanzmarkt | Financial market |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9080141 [DOI] hdl:10419/258225 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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