发布求助
文献互助 智能选刊 最新文献

Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management最新文献

筛选
英文 中文
Multivariate Time-Changed Brownian Motion 多元时变布朗运动
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management Pub Date : 1900-01-01 DOI: 10.1142/9789813276208_0007
M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi
{"title":"Multivariate Time-Changed Brownian Motion","authors":"M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi","doi":"10.1142/9789813276208_0007","DOIUrl":"https://doi.org/10.1142/9789813276208_0007","url":null,"abstract":"The main topics covered in this chapter are:the history of time-changed Brownian motion and why this process has been applied to finance;the main properties and formulas for different parametric examples of multivariate time-changed Brownian motion;the relation between multivariate time-changed Brownian motion and multivariate normal mean–variance mixture distributions;the derivation of the closed formula for the density function of some multivariate normal mean–variance mixture laws;the evaluation of the probability density function of a multivariate normal mean–variance mixture law when only the characteristic function of the mixing distribution is available in closed form while the density function is not;how to generate sample draws from a multivariate normal mean–variance mixture law.","PeriodicalId":227655,"journal":{"name":"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management","volume":"159 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123076561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions 极值理论在资产收益分布尾部厚度估计中的应用
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management Pub Date : 1900-01-01 DOI: 10.1142/9789813276208_0012
M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi
{"title":"Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions","authors":"M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi","doi":"10.1142/9789813276208_0012","DOIUrl":"https://doi.org/10.1142/9789813276208_0012","url":null,"abstract":"The main topics covered in this chapter are:assessment of value-at-risk (VaR) and average value-at-risk (AVaR) through extreme value theory (EVT) using the peaks-over-threshold method;how to combine the standard GARCH model which takes into account the clustering of volatility with EVT for risk estimation;extensive in-sample and out-of-sample analysis of the upper and the lower tail thickness of the return distributions of market indices;AVaR-based and standard VaR-based statistical tests to assess the out-of-sample behavior of the risk model.","PeriodicalId":227655,"journal":{"name":"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management","volume":"128 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128168312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Generalized Hyperbolic Distribution 广义双曲分布
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management Pub Date : 1900-01-01 DOI: 10.1142/9789813276208_0004
M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi
{"title":"The Generalized Hyperbolic Distribution","authors":"M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi","doi":"10.1142/9789813276208_0004","DOIUrl":"https://doi.org/10.1142/9789813276208_0004","url":null,"abstract":"The main topics covered in this chapter are:the definition and the main properties of the class of generalized hyperbolic distributions including different parameterizations, tail behavior, and central and non-central moments common in applications in finance;special subclasses which represent popular models in finance including the hyperbolic, the normal inverse Gaussian, the hyperbolic skewed t, the variance gamma, and other distributions;a random number generator for the general case and the most important subclasses;the method of maximum likelihood for parameter estimation for the general case and the most important subclasses;an empirical comparison of the fits of the generalized hyperbolic class and the most important subclasses based on the daily returns of the SPthe intuition behind the multivariate generalized hyperbolic distribution.","PeriodicalId":227655,"journal":{"name":"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116243960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
首页 上一页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信