Estimating correlated jumps and stochastic volatilities
Jiří Witzany
| Year of publication: |
2013
|
|---|---|
| Authors: | Witzany, Jiří |
| Published in: |
Prague economic papers : a bimonthly journal of economic theory and policy. - Prague : Oeconomica Publ., ISSN 1210-0455, ZDB-ID 1112445-3. - Vol. 22.2013, 2, p. 251-283
|
| Subject: | jump-diffusion | stochastic volatility | private investors | MCMC | Value at Risk | Monte Carlo | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätzung | Estimation | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010226453