A structure for general and specific market risk
From MaRDI portal
Publication:1424643
DOI10.1007/BF03354603zbMATH Open1039.91048OpenAlexW2104100995MaRDI QIDQ1424643FDOQ1424643
Authors: 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
Recommendations
Cites Work
- The pricing of options and corporate liabilities
- Linear Statistical Inference and its Applications
- Title not available (Why is that?)
- Hyperbolic distributions in finance
- Title not available (Why is that?)
- An Intertemporal Capital Asset Pricing Model
- Title not available (Why is that?)
- Analytical value-at-risk with jumps and credit risk
- Title not available (Why is that?)
- Arbitrage in continuous complete markets
- Diversified portfolios with jumps in a benchmark framework
- Extremal forex returns in extremely large data sets
Cited In (10)
- Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
- Statistical methodologies for the market risk measurement
- A benchmark approach to filtering in finance
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
- Value-at-risk in a market subject to regime switching
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Diversified portfolios with jumps in a benchmark framework
This page was built for publication: A structure for general and specific market risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1424643)
