Riding with the four horsemen and the multivariate normal tempered stable model (Q2814666)
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scientific article; zbMATH DE number 6596751
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Riding with the four horsemen and the multivariate normal tempered stable model |
scientific article; zbMATH DE number 6596751 |
Statements
22 June 2016
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normal mean-variance mixture
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time-changed Brownian motion
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multivariate non-Gaussian processes
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expectation-maximization maximum likelihood
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volatility clustering
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portfolio risk measures
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Riding with the four horsemen and the multivariate normal tempered stable model (English)
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