Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation (Q5034429)
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scientific article; zbMATH DE number 7481235
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation |
scientific article; zbMATH DE number 7481235 |
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Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation (English)
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25 February 2022
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autoregressive model
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sublinear expectation
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volatility uncertainty
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\(G\)-VaR
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\(G\)-normal distribution
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