Distributional Uncertainty of the Financial Time Series Measured by G-Expectation

DOI10.1137/S0040585X97T990708MaRDI QIDQ5034429zbMATH OpenOpenAlexFDO

Authors

Publication date 25 February 2022

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.09226

zbMATH Keywords

autoregressive modelvolatility uncertaintysublinear expectation\(G\)-normal distribution\(G\)-VaR

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(3)

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• ES under sublinear expectation and related experiment
• Optimal unbiased estimation for maximal distribution

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