Financial and risk modelling with semicontinuous covariances

DOI10.1016/J.INS.2017.02.002MaRDI QIDQ2293145zbMATH OpenOpenAlexFDO

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

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

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• Inference on errors in industrial parts: kriging and variogram versus geometrical product specifications standard
• Log-gamma motion as flexible model for generalized interest rates
• A study on regional financial risks based on \textit{CoCVaR} model
• Multiseasonal discrete-time risk model revisited
• 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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