RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL

DOI10.1142/S0219024916500278zbMath1396.62241OpenAlexW2345365503MaRDI QIDQ2814666

Gian Luca Tassinari, Michele Leonardo Bianchi, Frank J. Fabozzi

Publication date: 22 June 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500278

zbMATH Keywords

volatility clusteringtime-changed Brownian motionnormal mean-variance mixtureexpectation-maximization maximum likelihoodmultivariate non-Gaussian processesportfolio risk measures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items

Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model, On Properties of the MixedTS Distribution and Its Multivariate Extension, Learning for infinitely divisible GARCH models in option pricing, Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization, Forward-looking portfolio selection with multivariate non-Gaussian models, Modelling tail risk with tempered stable distributions: an overview, Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

Uses Software

• QRM

Cites Work

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