Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
THE STRESS-DEPENDENT RANDOM WALK - MaRDI portal

THE STRESS-DEPENDENT RANDOM WALK (Q3467599)

From MaRDI portal
scientific article
Language Label Description Also known as
English
THE STRESS-DEPENDENT RANDOM WALK
scientific article

    Statements

    title
    THE STRESS-DEPENDENT RANDOM WALK (English)
    0 references
    author
    Martin Gremm
    0 references
    publication date
    3 February 2016
    0 references
    zbMATH Keywords
    market model
    0 references
    regime-switching
    0 references
    stochastic volatility
    0 references
    value at risk
    0 references
    market stress
    0 references
    lognormal random walk
    0 references
    volatility clustering
    0 references
    fat tails
    0 references

    Identifiers

    Mathematics Subject Classification ID
    91G70
    0 references
    91B70
    0 references
    60G50
    0 references
    62P05
    0 references
    zbMATH DE Number
    6538907
    0 references
    Wikidata QID
    Q59821193
    0 references
    arXiv ID
    1310.4538
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q3467599&oldid=33626502"
    Powered by MediaWiki