Showing 1 - 10 of 24
We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive...
Persistent link: https://www.econbiz.de/10012935916
Persistent link: https://www.econbiz.de/10001856096
Persistent link: https://www.econbiz.de/10002771748
Persistent link: https://www.econbiz.de/10013465694
Persistent link: https://www.econbiz.de/10014432824
Persistent link: https://www.econbiz.de/10001683059
Persistent link: https://www.econbiz.de/10009615713
Persistent link: https://www.econbiz.de/10009681994
Persistent link: https://www.econbiz.de/10003674270
Persistent link: https://www.econbiz.de/10003377841