Similar Search Results

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20

introduce the normal tempered stable (NTS) copula based on the Lévy process. We also propose a novel backtesting method for …

Persistent link: https://www.econbiz.de/10012588056

Smith, Kevin - In: The accounting review : a publication of the American … 98 (2023) 4, pp. 373-403

Persistent link: https://www.econbiz.de/10014340501

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

Persistent link: https://www.econbiz.de/10012309311

Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149

Persistent link: https://www.econbiz.de/10013532426

Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425

Persistent link: https://www.econbiz.de/10010528975

Augustin, Patrick; Cheng, Ing-Haw; Van den Bergen, Ludovic - 2021

stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …

Persistent link: https://www.econbiz.de/10012585893

Mancino, Maria Elvira; Sanfelici, Simona - In: Risks : open access journal 8 (2020) 4/120, pp. 1-17

approach is nonparametric, as we only assume a general local volatility model and we substitute the volatility and the other …

Persistent link: https://www.econbiz.de/10012390464

Lévy Dit Véhel, Pierre-Emmanuel; Lévy Véhel, Jacques - In: Risk and decision analysis 7 (2018) 1/2, pp. 63-75

Persistent link: https://www.econbiz.de/10011945650

Bolek, Adam - 1999

Persistent link: https://www.econbiz.de/10000682737