Riding with the four horsemen and the multivariate normal tempered stable model
Year of publication: |
June 2016
|
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Authors: | Bianchi, Michele Leonardo ; Tassinari, Gian Luca ; Fabozzi, Frank J. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 4, p. 1-28
|
Subject: | Normal mean-variance mixture | time-changed Brownian motion | multivariate non-Gaussian processes | expectation-maximization maximum likelihood | volatility clustering | portfolio risk measures | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | CAPM | Risikomaß | Risk measure |
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