A structure for general and specific market risk
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Publication:1424643
DOI10.1007/BF03354603zbMath1039.91048OpenAlexW2104100995MaRDI QIDQ1424643
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
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
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- 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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