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Q4820980 - MaRDI portal

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scientific article; zbMATH DE number 2105698
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English
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scientific article; zbMATH DE number 2105698

    Statements

    author
    David Ruppert
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    publication date
    4 October 2004
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    Mathematics Subject Classification ID
    91-01
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    91G70
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    91Gxx
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    62-01
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    62P05
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    zbMATH DE Number
    2105698
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    zbMATH Keywords
    geometric random walk
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    ARIMA model
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    Markowitz portfolio model
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    CAPM
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    multiple factors model
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    Black-Scholes
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    resampling
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    VaR risk management
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    GARCH models
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    nonparametic regression using spline
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    behavioral finance
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