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Modeling the volatility and expected value of a diversified world index

Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529

Persistent link: https://www.econbiz.de/10002108812

Modeling the volatility and expected value of a diversified world index

Platen, Eckhard - 2003

Persistent link: https://www.econbiz.de/10002250902

On the distributional characterization of daily log-returns of a world stock index

Fergusson, Kevin; Platen, Eckhard - In: Applied mathematical finance 13 (2006) 1, pp. 19-38

Persistent link: https://www.econbiz.de/10003320030

Modelling co-movements and tail dependency in the international stock market via copulae

Ignatieva, Katja; Platen, Eckhard - 2009

Persistent link: https://www.econbiz.de/10008662352

Using dynamic copulae for modeling dependency in currency denominations of a diversifed world stock index

Ignatieva, Katja; Platen, Eckhard; Rendek, Renata - 2010

Persistent link: https://www.econbiz.de/10008663090

Empirical behavior of a world stock index from intra-day to monthly time scales

Breymann, Wolfgang; Lüthi, David; Platen, Eckhard - 2009

Persistent link: https://www.econbiz.de/10003857529

Approximating the numéraire portfolio by naive deversification

Platen, Eckhard; Rendek, Renata - In: The journal of asset management 13 (2012) 1, pp. 34-50

Persistent link: https://www.econbiz.de/10009550668

A Monte Carlo method using PDE expansions for a diversifed equity index model

Heath, David C.; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344801

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611

Local volatility function models under a benchmark approach

Heath, David C.; Platen, Eckhard - 2004

Persistent link: https://www.econbiz.de/10002253940