Distributional Uncertainty of the Financial Time Series Measured by G-Expectation

DOI10.1137/S0040585X97T990708MaRDI QIDQ5034429zbMATH OpenOpenAlexFDO

Authors

Publication date 25 February 2022

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.09226

zbMATH Keywords

\(G\)-normal distribution\(G\)-VaRautoregressive modelsublinear expectationvolatility uncertainty

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Coherent measures of risk
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• Limit theorems with rate of convergence under sublinear expectations
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Nonlinear expectations and nonlinear Markov chains
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
• Normal approximation by Stein's method under sublinear expectations
• On Shige Peng's central limit theorem
• Optimal unbiased estimation for maximal distribution
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Robust Statistics
• Stein type characterization for G-normal distributions
• Stein's method for the law of large numbers under sublinear expectations
• Stochastic finance. An introduction in discrete time
• Theory, methods and meaning of nonlinear expectation theory
• Uncertain volatility and the risk-free synthesis of derivatives
• Value-at-Risk Prediction: A Comparison of Alternative Strategies

Cited in

(5)

• Optimal unbiased estimation for maximal distribution
• A new measure between sets of probability distributions with applications to erratic financial behavior
• ES under sublinear expectation and related experiment
• Moments of G-normal distributions with respect to Choquet expectations
• Range value at risk under model uncertainty

This page was built for publication: Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5034429)