scientific article; zbMATH DE number 1820665

Publication date: 27 October 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

options diffusion time series finance volatility extreme MCMC co-integration VARMA VaR heavy tailed multiple assets

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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