Financial modeling under non-Gaussian distributions.
From MaRDI portal
Publication:855067
zbMATH Open1138.91002MaRDI QIDQ855067FDOQ855067
Authors: Eric Jondeau, Ser-Huang Poon, M. Rockinger 
Publication date: 27 December 2006
Published in: Springer Finance (Search for Journal in Brave)
Recommendations
option pricingGARCH modelrisk managementBlack-Scholes-Merton modelderivative assetnon-normal returnsrisk neutral densities
Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Cited In (67)
- Portfolio selection based on extended Gini shortfall risk measures
- Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
- State price density estimation with an application to the recovery theorem
- Analytical path-integral pricing of deterministic moving-barrier options under non-Gaussian distributions
- MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH
- The sparse method of simulated quantiles: An application to portfolio optimization
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
- Filtering response directions
- Modeling asset prices
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Sparse-group independent component analysis with application to yield curves prediction
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Title not available (Why is that?)
- It only takes a few moments to hedge options
- VaR/CVaR estimation under stochastic volatility models
- Parameters estimation using the first passage times method in a jump-diffusion model
- Comparison of jump-diffusion parameters using passage times estimation
- Emergence of heavy-tailed skew distributions from the heat equation
- Portfolio allocation using omega function: an empirical analysis
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- Correlated squared returns
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- Stable Paretian models in finance
- Random matrix models for datasets with fixed time horizons
- On hysteretic vector autoregressive model with applications
- Diversity metrics for direct-coded variable-length chromosome shortest path problem evolutionary algorithms
- Mean-variance efficiency of optimal power and logarithmic utility portfolios
- The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
- A moment method for the multivariate asymmetric Laplace distribution
- Three non-Gaussian models of dependence in returns
- A perspective on recent methods on testing predictability of asset returns
- The moments of a diffusion process
- Comparison of value-at-risk models using the MCS approach
- Testing the constancy of Spearman's rho in multivariate time series
- Instantaneous portfolio theory
- Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
- Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\)
- Unfolded GARCH models
- Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
- Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- Econometric modeling of risk measures: a selective review of the recent literature
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- On approximations of value at risk and expected shortfall involving kurtosis
- Testing stationarity of the detrended price return in stock markets
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
- Optimal investment under multi-factor stochastic volatility
- The Role of the Normal Distribution in Financial Markets
- Nonparametric tests for constant tail dependence with an application to energy and finance
- VaR methodology for non-Gaussian finance
- Tail behavior and dependence structure in the APARCH model
- A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
- Jump tails, extreme dependencies, and the distribution of stock returns
- Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications
- An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing
- A multivariate pure-jump model with multi-factorial dependence structure
- Implied price processes anchored in statistical realizations
- Multivariate Lévy processes with dependent jump intensity
- Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
- Financial models with Lévy processes and volatility clustering.
- Gaussian mixtures and financial returns
This page was built for publication: Financial modeling under non-Gaussian distributions.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q855067)
