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  • Search: subject:"multivariate Lévy models"
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Subject
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CAPM 1 EM algorithm 1 Factor analysis 1 Factor models 1 Faktorenanalyse 1 Intra-horizon Value at Risk 1 Jump models 1 Maximum Likelihood 1 Multivariate Analyse 1 Multivariate Lévy models 1 Multivariate analysis 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Principal Components 1 Risikomaß 1 Risk measure 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Ballotta, Laura 1 Fusai, Gianluca 1 Loregian, Angela 1 Perez, M. Fabricio 1
Source
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ECONIS (ZBW) 1
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Estimation of Multivariate Asset Models with Jumps
Loregian, Angela - 2018
We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...
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