Riding with the four horsemen and the multivariate normal tempered stable model
Michele Leonardo Bianchi (Regulation and Macroprudential Analysis Directorate, Bank of Italy, Rome, Italy), Gian Luca Tassinari (School of Economics, Management and Statistics, Alma Mater Studiorum, University of Bologna, Bologna, Italy), Frank J. Fabozzi (EDHEC Business School, Nice, France)
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Bianchi, Michele Leonardo ; Tassinari, Gian Luca ; Fabozzi, Frank J. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 4, p. 1-28
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| Subject: | Normal mean-variance mixture | time-changed Brownian motion | multivariate non-Gaussian processes | expectation-maximization maximum likelihood | volatility clustering | portfolio risk measures | Volatilität | Volatility | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500278 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011523819