Showing 1 - 10 of 5,862
Persistent link: https://www.econbiz.de/10011392906
We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...
Persistent link: https://www.econbiz.de/10012937321
Persistent link: https://www.econbiz.de/10000412479
Persistent link: https://www.econbiz.de/10011485897
Persistent link: https://www.econbiz.de/10012936204
Persistent link: https://www.econbiz.de/10011398726
Persistent link: https://www.econbiz.de/10010419898
Persistent link: https://www.econbiz.de/10011403748
log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a …-returns and volatility offer the best trade-off between model performance and parsimony …
Persistent link: https://www.econbiz.de/10012933831
Persistent link: https://www.econbiz.de/10010128844