Search Results - subject:"generalized hyperbolic distribution"

An assessment of model risk in pricing wind derivatives

Gracianti, Giovani; Rui, Zhou; Li, Johnny Siu-Hang; Wu, … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 479-502

Persistent link: https://www.econbiz.de/10014436785

Density and Risk Prediction with Non-Gaussian COMFORT Models

Paolella, Marc S.; Polak, Pawel - 2022

The CCC-GARCH model, and its dynamic correlation extensions, form the most important model class for multivariate asset returns. For multivariate density and portfolio risk forecasting, a drawback of these models is the underlying assumption of Gaussianity. This paper considers the so-called...

Persistent link: https://www.econbiz.de/10014236254

Lévy processes on the cryptocurrency market

Zięba, Damian - 2019

Persistent link: https://www.econbiz.de/10012196575

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019

Covariance matrix forecasts for portfolio optimization have to balance sensitivity to new data points with stability in order to avoid excessive rebalancing. To achieve this, a new robust orthogonal GARCH model for a multivariate set of non-Gaussian asset returns is proposed. The conditional...

Persistent link: https://www.econbiz.de/10012134234

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