Density and risk prediction with non-Gaussian COMFORT models
MS Paolella, P Polak - Swiss Finance Institute Research Paper, 2022 - papers.ssrn.com
The CCC-GARCH model, and its dynamic correlation extensions, form the most important
model class for multivariate asset returns. For multivariate density and portfolio risk …
model class for multivariate asset returns. For multivariate density and portfolio risk …
Density and risk prediction with non-Gaussian COMFORT models
MS Paolella, P Polak - Annals of Financial Economics, 2023 - World Scientific
The CCC-GARCH model, and its dynamic correlation extensions, form the most important
model class for multivariate asset returns. For multivariate density and portfolio risk …
model class for multivariate asset returns. For multivariate density and portfolio risk …
[图书][B] Data Analytics Methodologies for Business Principles
A Paparas - 2021 - search.proquest.com
The first part of this thesis analyzes inhomogeneous time series data caused by the
presence of an unknown change-point. We assume that the time series data are from a …
presence of an unknown change-point. We assume that the time series data are from a …
Some Properties of the Multivariate Generalized Hyperbolic Laws
SB Fotopoulos, VK Jandhyala, A Paparas - Sankhya A, 2021 - Springer
The purpose of this study is to characterize multivariate generalized hyperbolic (MGH)
distributions and their conditionals by considering the MGH as a subclass of the mean …
distributions and their conditionals by considering the MGH as a subclass of the mean …