The stress-dependent random walk
Martin Gremm (Pivot Point Advisors, LLC, Bellaire, TX, USA)
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Gremm, Martin |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 8, p. 1-16
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| Subject: | Market model | regime-switching | stochastic volatility | value at risk | market stress | lognormal random walk | volatility clustering | fat tails | Volatilität | Volatility | Random Walk | Random walk | Theorie | Theory | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024915500545 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419399