Risk modelling approaches for Student-like models with fractal activity time

DOI10.18523/2617-70804202128-33MaRDI QIDQ6568614zbMATH OpenFDO

Authors G. Solomanchuk, Nataliya Yu. Shchestyuk

Publication date 8 July 2024

Published in Mogylyans'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

zbMATH Keywords

value at riskMonte Carlo methodoptimal portfolioStudent distributionfractal activity time model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Fractals (28A80)

Recommendations

• Student-like models for risky asset with dependence
• Risky asset models with tempered stable fractal activity time
• Stable modeling of value at risk
• Multifractal value at risk model
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions

This page was built for publication: Risk modelling approaches for Student-like models with fractal activity time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6568614)