Examination of Portfolio Currency Risk Estimation by Means of Lévy Models
Year of publication: |
2010
|
---|---|
Authors: | Tichý, Tomáš |
Published in: |
Politická ekonomie. - Vysoká Škola Ekonomická v Praze, ISSN 0032-3233. - Vol. 2010.2010, 4, p. 504-521
|
Publisher: |
Vysoká Škola Ekonomická v Praze |
Subject: | variance gamma model | normal inverse Gaussian model | Lévy models | ordinary elliptical copula function | financial risk | backtesting |
-
Examination of selected improvement approaches to Monte Carlo simulation in option pricing
Tichý, Tomáš, (2008)
-
Malhotra, Yogesh, (2017)
-
Two Sample Tests for High Dimensional Covariance Matrices
Chen, Songxi, (2012)
- More ...
-
Dependency models for a small exchange rate sensitive portfolio
Tichý, Tomáš, (2008)
-
Portfolio selection with uncertainty measures consistent with additive shifts
Giacometti, Rosella, (2015)
-
On the impact of semidefinite positive correlation measures in portfolio theory
Ortobelli, Sergio, (2015)
- More ...