3D extreme value analysis for stock return, interest rate and speed of mean reversion (Q896795)
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scientific article; zbMATH DE number 6520908
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| English | 3D extreme value analysis for stock return, interest rate and speed of mean reversion |
scientific article; zbMATH DE number 6520908 |
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3D extreme value analysis for stock return, interest rate and speed of mean reversion (English)
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14 December 2015
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3D extreme value analysis
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fat-tails
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high-peaks
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numerical solutions of stochastic differential equations
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Heston model
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comovement
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0.7228090763092041
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0.703352689743042
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0.6778310537338257
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0.6756176948547363
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0.6752918362617493
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