RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
DOI10.1142/S0219024916500278zbMath1396.62241OpenAlexW2345365503MaRDI QIDQ2814666
Gian Luca Tassinari, Michele Leonardo Bianchi, Frank J. Fabozzi
Publication date: 22 June 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024916500278
volatility clusteringtime-changed Brownian motionnormal mean-variance mixtureexpectation-maximization maximum likelihoodmultivariate non-Gaussian processesportfolio risk measures
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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