COMFORT: a common market factor non-Gaussian returns model (Q2347735)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COMFORT: a common market factor non-Gaussian returns model |
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COMFORT: a common market factor non-Gaussian returns model (English)
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8 June 2015
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CCC
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common jumps
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density forecasting
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EM-algorithm
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fat tails
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GARCH
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multivariate asymmetric variance gamma distribution
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multivariate generalized hyperbolic distribution
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multivariate option pricing
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stochastic volatility
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