scientific article; zbMATH DE number 2105698

zbMath1049.91083MaRDI QIDQ4820980

David Ruppert

Publication date: 4 October 2004

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

resamplingGARCH modelsCAPMBlack-Scholesbehavioral financeARIMA modelMarkowitz portfolio modelgeometric random walkmultiple factors modelnonparametic regression using splineVaR risk management

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)

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Uses Software

• Matlab