Temporal aggregation of equity return time-series models (Q929677)
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scientific article; zbMATH DE number 5290603
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Temporal aggregation of equity return time-series models |
scientific article; zbMATH DE number 5290603 |
Statements
Temporal aggregation of equity return time-series models (English)
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18 June 2008
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calibration points
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equity-linked guarantees
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GARCH model
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log-stable distribution
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S\&P 500 total returns
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0.7610335946083069
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0.7486773133277893
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0.7397547960281372
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0.7197043895721436
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0.7197043895721436
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