RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (Q2814666)

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RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
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    RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (English)
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    22 June 2016
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    normal mean-variance mixture
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    time-changed Brownian motion
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    multivariate non-Gaussian processes
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    expectation-maximization maximum likelihood
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    volatility clustering
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    portfolio risk measures
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