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Hidden semi-Markov models for rainfall-related insurance claims

Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - 2023

Persistent link: https://www.econbiz.de/10014431361

Estimation of the parameters of a Markov-modulated loss process in insurance

Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 388-404

Persistent link: https://www.econbiz.de/10010195915

Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

Persistent link: https://www.econbiz.de/10011285427

Mixture periodic GARCH models : theory and applications

Hamdi, Fayçal; Souam, Saïd - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1925-1956

Persistent link: https://www.econbiz.de/10011950345

Optimal adaptive sequential calibration of option models

Lindström, Erik; Åkerlindh, Carl - In: Handbook of recent advances in commodity and financial …, (pp. 165-181). 2018

Persistent link: https://www.econbiz.de/10011898632

Regime-switching stochastic volatility model : estimation and calibration to VIX options

Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75

Persistent link: https://www.econbiz.de/10011746993

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178

Persistent link: https://www.econbiz.de/10012194752

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

Persistent link: https://www.econbiz.de/10012219363

Estimating high dimensional multivariate stochastic volatility models

Pelagatti, Matteo; Sbrana, Giacomo - 2020

Persistent link: https://www.econbiz.de/10012318391

Aggregate claim estimation using bivariate Hidden Markov Model

Oflaz, Zarina Nukeshtayeva; Yozgatligil, Ceylan; … - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 189-215

Persistent link: https://www.econbiz.de/10012105441