Zero covariation returns

DOI10.1186/S41546-018-0031-1MaRDI QIDQ2296115zbMATH OpenOpenAlexWikidataFDO

Authors Dilip B. Madan, Wim Schoutens

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-018-0031-1

zbMATH Keywords

distorted expectationminmaxvar distortionbilateral gamma processconic portfolio theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Realized semicovariances
• Three non-Gaussian models of dependence in returns
• An asset return model capturing stylized facts
• Realized beta: persistence and predictability
• Dynamic factor multivariate GARCH model

Cites work

• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A two price theory of financial equilibrium with risk management implications
• Applied conic finance
• Asset pricing theory for two price economies
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Bilateral gamma distributions and processes in financial mathematics
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Conic asset pricing and the costs of price fluctuations
• Conic portfolio theory
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
• High-frequency cross-correlation in a set of stocks
• Instantaneous portfolio theory
• Markets as a counterparty: an introduction to conic finance
• Measure distorted arrival rate risks and their rewards
• Measuring and monitoring the efficiency of markets
• Multivariate time changes for Lévy asset models: characterization and calibration
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• The Variance Gamma Process and Option Pricing
• Theory of capacities
• Uniqueness in law for pure jump Markov processes

Cited in

(1)

• A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

Describes a project that uses

Uses Software

• GaussQR
• Matlab

This page was built for publication: Zero covariation returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2296115)