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scientific article; zbMATH DE number 1820665
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scientific article; zbMATH DE number 1820665

    Statements

    author
    Ruey S. Tsay
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    publication date
    27 October 2002
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    Mathematics Subject Classification ID
    91B84
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    91-01
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    62M10
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    91B28
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    91B26
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    91B30
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    zbMATH DE Number
    1820665
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    zbMATH Keywords
    time series
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    finance
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    VaR
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    VARMA
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    options
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    diffusion
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    extreme
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    multiple assets
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    heavy tailed
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    co-integration
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    volatility
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    MCMC
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