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ECONIS (ZBW)
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1
Simulating
multi-asset
classes prices using Wasserstein Generative Adversarial Network: A study of stocks, futures and cryptocurrency
Han, Feng
;
Ma, Xiaojuan
;
Zhang, Jiheng
- In:
Journal of Risk and Financial Management
15
(
2022
)
1
,
pp. 1-21
of a market simulator for trading analysis. We might be the first to look into
multi-asset
classes in a systematic …
Persistent link: https://www.econbiz.de/10013201330
Saved in:
2
Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking & Finance, 2014)
Xu, Jiahua
- In:
International Journal for Re-Views in Empirical …
3
(
2019
)
2019-6
,
pp. 1-20
This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios,...
Persistent link: https://www.econbiz.de/10012140651
Saved in:
3
Steady states, stability and bifurcations in
multi-asset
market models
Dieci, Roberto
;
Schmitt, Noemi
;
Westerhoff, Frank
-
2018
We provide a full analytical treatment of a
multi-asset
market model in which speculators have the choice between two …
Persistent link: https://www.econbiz.de/10011904744
Saved in:
4
A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd
;
Volk-Makarewicz, Warren
-
2013
to the parameter of interest. Specifically, we perform a sensitivity analysis of the quantile of the value of a
multi-asset
…
Persistent link: https://www.econbiz.de/10010326413
Saved in:
5
Unifying exotic option closed formulas
Esquível, Manuel L.
;
Veiga, Carlos
;
Wystup, Uwe
-
2010
most, if not all, mountain range exotic options and is developed in a
multi-asset
, multi-currency Black-Scholes model with …
Persistent link: https://www.econbiz.de/10010301702
Saved in:
6
Correlation Risk Premia for
Multi-Asset
Equity Options
Fengler, Matthias R.
;
Schwendner, Peter
-
2003
multi-asset
equity options from historical data. To quantify the precision of these correlation estimates, we devise a block … bootstrap procedure. The resulting bootstrap distributions are mapped on price distributions of three standard types of
multi-asset
…
Persistent link: https://www.econbiz.de/10010296446
Saved in:
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