3D extreme value analysis for stock return, interest rate and speed of mean reversion
type: Item
instance of: scholarly article
title: 3D extreme value analysis for stock return, interest rate and speed of mean reversion
zbMATH Open document ID: 1329.91151
author: Burhaneddin İzgi
author: Ahmet Duran
published in: Journal of Computational and Applied Mathematics
publication date: 2015-12-14T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6520908
zbMATH Keywords: 3D extreme value analysis
zbMATH Keywords: fat-tails
zbMATH Keywords: high-peaks
zbMATH Keywords: numerical solutions of stochastic differential equations
zbMATH Keywords: Heston model
zbMATH Keywords: comovement
describes a project that uses: EVIM
MaRDI profile type: MaRDI publication profile
full work available at URL: j.cam.2015.10.009
OpenAlex ID: W2126795537
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DOI: 10.1016/J.CAM.2015.10.009
description: scientific article; zbMATH DE number 6520908