A structure for general and specific market risk

DOI10.1007/BF03354603zbMath1039.91048OpenAlexW2104100995MaRDI QIDQ1424643

Eckhard Platen

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03354603

zbMATH Keywords

stochastic volatilityValue at Riskbenchmark approachgeneralized hyperbolic densitygrowth ratio

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (7)

Unnamed Item ⋮ Value-at-risk in a market subject to regime switching ⋮ On the Distributional Characterization of Daily Log‐Returns of a World Stock Index ⋮ Empirical evidence on Student-\(t\) log-returns of diversified world stock indices ⋮ Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index ⋮ Diversified portfolios with jumps in a benchmark framework ⋮ A benchmark approach to filtering in finance

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Extremal forex returns in extremely large data sets
• Hyperbolic distributions in finance
• Diversified portfolios with jumps in a benchmark framework
• An Intertemporal Capital Asset Pricing Model
• Arbitrage in continuous complete markets
• Linear Statistical Inference and its Applications
• Analytical value-at-risk with jumps and credit risk

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