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ARCH model Markov chain 3 Markov-Kette 2 Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Subexponential distributions 2 regular variation 2 ARCH-Modell 1 Approximations 1 Barrier option 1 Batch arrival 1 Bayesian robustness 1 Bienayme-Galton-Watson branching process 1 Complementary error function 1 Conflicting information 1 Estimation 1 Estimation theory 1 Gamma function 1 Geometric distribution related to Markov chain 1 Homogeneous Markov chain 1 In ated negative binomial distribution 1 Innovation 1 Interrupted Markov chain 1 Lambert W function 1 Maximum entropy 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Multiple vacation 1 New binomial distribution 1 O-regular variation 1 Queueing model 1 Regular variation 1 Regularly varying distributions 1 Renewal function 1 Renewal theory 1 Risiko 1 Risikomaß 1 Risk 1

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Fabozzi, Frank J. 1 Kim, Aaron 1 Mitov, Georgi K. 1 Prohl, Silke 1 Rachev, Svetlozar 1

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Risk Estimation for GARCH Processes with Heavy-Tailed Innovations

Prohl, Silke - 2019

Persistent link: https://www.econbiz.de/10012895335

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