RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (Q2814666)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL |
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RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (English)
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22 June 2016
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normal mean-variance mixture
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time-changed Brownian motion
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multivariate non-Gaussian processes
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expectation-maximization maximum likelihood
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volatility clustering
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portfolio risk measures
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