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Time series modelling with semiparametric factor dynamics
Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - 2007
study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with …
Persistent link: https://www.econbiz.de/10003633687
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Models for heavy-tailed asset returns
Borak, Szymon; Misiorek, Adam; Weron, Rafał - 2010
portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest …
Persistent link: https://www.econbiz.de/10008663369
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Stable distributions
Borak, Szymon (contributor); Härdle, Wolfgang (contributor) - 2005
Persistent link: https://www.econbiz.de/10003036165
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FFT based option pricing
Borak, Szymon (contributor); Detlefsen, Kai (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003036508