scientific article; zbMATH DE number 2105698

zbMath1049.91083MaRDI QIDQ4820980

David Ruppert

Publication date: 4 October 2004

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

zbMATH Keywords

resamplingGARCH modelsCAPMBlack-Scholesbehavioral financeARIMA modelMarkowitz portfolio modelgeometric random walkmultiple factors modelnonparametic regression using splineVaR risk management

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)

Related Items (12)

Nonparametric models and their estimation ⋮ Forecasting in nonlinear univariate time series using penalized splines ⋮ High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation ⋮ Modeling long term return distribution and nonparametric market risk estimation ⋮ Exploring US business cycles with bivariate loops using penalized spline regression ⋮ Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance ⋮ Regularizing portfolio risk analysis: a Bayesian approach ⋮ Examining heterogeneity in implied equity risk premium using penalized splines ⋮ Influence diagnostics for linear models with first-order autoregressive elliptical errors ⋮ SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ RCEV heteroscedasticity test based on the studentized residuals

Uses Software

• Matlab

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