Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias - In: Statistics & Risk Modeling 32 (2015) 3-4, pp. 177-195
Abstract It is standard in quantitative risk management to model a random vector ${\mathbf {X}:=\lbrace X_{t_k}\rbrace _{k=1,\ldots ,d}}$ of consecutive log-returns to ultimately analyze the probability law of the accumulated return ${X_{t_1}+\cdots +X_{t_d}}$ .
By the Markov regression...