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~subject:"Stochastischer Prozess"
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Search: subject:"Generalized Hyperbolic distribution"
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Stochastischer Prozess
generalized hyperbolic distribution
34
Statistische Verteilung
31
Statistical distribution
28
Theorie
24
Generalized hyperbolic distribution
23
Theory
22
Generalized Hyperbolic Distribution
14
Estimation
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Portfolio selection
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Portfolio-Management
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Schätzung
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ARCH-Modell
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Capital income
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Kapitaleinkommen
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Volatilität
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Prognoseverfahren
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CAC 40
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GARCH
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Generalized Hyperbolic distribution
5
Portfolio optimization
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Risiko
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Risk
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Student-t distribution
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dynamic equicorrelation
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large portfolio approximation
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law of large numbers
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option pricing
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Heavy-tailed distribution
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Parameter estimation
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Stable distribution
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Stochastic process
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Tempered stable distribution
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value at risk
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Kim, Joseph H. T.
1
Kim, So-Yeun
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Mwaniki, Ivivi Joseph
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Paolella, Marc S.
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Polak, Pawel
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Zięba, Damian
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ECONIS (ZBW)
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1
Lévy processes on the cryptocurrency market
Zięba, Damian
-
2019
Persistent link: https://www.econbiz.de/10012196575
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2
Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.
;
Kim, So-Yeun
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 145-157
Persistent link: https://www.econbiz.de/10012058851
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3
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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4
Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market
Mwaniki, Ivivi Joseph
- In:
Journal of mathematical finance
5
(
2015
)
1
,
pp. 15-25
Persistent link: https://www.econbiz.de/10011398581
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