Search Results - subject:"Generalized hyperbolic Distribution"

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi J. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-16

underlying asset dynamics are modelled by generalized hyperbolic distribution and normal inverse Gaussian distribution. The … pentanomial lattice is constructed using a moment matching procedure. Moment generating functions of generalized hyperbolic … distribution and normal inverse Gaussian distribution are utilized to compute probabilities and jump parameters under historical …

Persistent link: https://www.econbiz.de/10011988781

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi Joseph - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011883226

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...

Persistent link: https://www.econbiz.de/10011442897

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for numerous financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and...

Persistent link: https://www.econbiz.de/10011605882

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011332950

Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515

Persistent link: https://www.econbiz.de/10012304579

What is the best Lévy model for stock indices? : a comparative study with a view to time consistency

Massing, Till Philipp Georg - In: Financial markets and portfolio management 33 (2019) 3, pp. 277-344

Persistent link: https://www.econbiz.de/10012427796

Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions

Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157

Persistent link: https://www.econbiz.de/10012058851

Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics

Lucas, Andre; Schwaab, Bernd; Zhang, Xin - 2013

Two new measures for financial systemic risk are computed based on the time-varying conditional and unconditional probability of simultaneous failures of several financial institutions. These risk measures are derived from a multivariate model that allows for skewed and heavy-tailed changes in...

Persistent link: https://www.econbiz.de/10010326546