Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes
Xiaoli Gong, Xintian Zhuang
| Year of publication: |
April 2017
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|---|---|
| Authors: | Gong, Xiaoli ; Zhuang, Xintian |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 40.2017, p. 148-159
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| Subject: | Stochastic volatility | Tempered stable Lévy process | Financial risk measurement | Portfolio reversion | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Risiko | Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.02.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011878807