COMFORT: a common market factor non-Gaussian returns model (Q2347735)
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scientific article; zbMATH DE number 6443584
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| English | COMFORT: a common market factor non-Gaussian returns model |
scientific article; zbMATH DE number 6443584 |
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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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0.7905992269515991
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0.7796352505683899
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0.778477132320404
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0.7744265198707581
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0.773115873336792
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