Volatility, risk modeling and utility

DOI10.1016/J.AMC.2006.01.079MaRDI QIDQ858849zbMATH OpenOpenAlexFDO

Authors Michael C. I. Nwogugu

Publication date 11 January 2007

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2006.01.079

zbMATH Keywords

complexityartificial intelligencedecision-makingpsychologynon-linear dynamicsrisk and uncertainty

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Decision theory (91B06) Mathematical psychology (91E99)

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Cites work

• Alternative models for stock price dynamics.
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Do asset market prices reflect traders' judgment biases?
• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
• Expected shortfall and beyond
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES
• The Econometrics of Ultra-high-frequency Data
• Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
• Understanding the cubic and half-cubic laws of financial fluctuations

Cited in

(6)

• Recent developments in volatility modeling and applications
• Volatility and welfare
• Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing
• Modeling Variance Risk Premium
• Handbook of Volatility Models and Their Applications

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