Financial and risk modelling with semicontinuous covariances

DOI10.1016/J.INS.2017.02.002zbMATH Open1431.91424OpenAlexW2584720005MaRDI QIDQ2293145FDOQ2293145

Authors: Yanyan Li 

Publication date: 7 February 2020

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2017.02.002

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zbMATH Keywords

random walkfinancial crisesinterest ratesIS-LM modelnegative moneysemicontinuous covariance

Mathematics Subject Classification ID

Diffusion processes (60J60) Sums of independent random variables; random walks (60G50) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cited In (10)

• Application of innovative risk early warning mode under big data technology in Internet credit financial risk assessment
• Inference on errors in industrial parts: kriging and variogram versus geometrical product specifications standard
• D-optimal designs for complex Ornstein-Uhlenbeck processes
• Log-gamma motion as flexible model for generalized interest rates
• Multiseasonal discrete-time risk model revisited
• A study on regional financial risks based on \textit{CoCVaR} model
• On some consequences of COVID-19 in EUR/USD exchange rates and economy
• How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
• Continuous-time stochastic modelling of capital adequacy ratios for banks

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