| Nome |
# |
|
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization, file dfa8b99c-5d4a-748b-e053-3a05fe0a3a96
|
330
|
|
Implicit expectiles and measures of implied volatility, file dfa8b99c-5573-748b-e053-3a05fe0a3a96
|
315
|
|
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming, file dfa8b99e-1306-748b-e053-3a05fe0a3a96
|
311
|
|
Risk parity for mixed tempered stable distributed sources of risk, file dfa8b997-481b-748b-e053-3a05fe0a3a96
|
255
|
|
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences, file dfa8b9a4-ac01-748b-e053-3a05fe0a3a96
|
245
|
|
Option pricing in an exponential MixedTS Lévy process, file dfa8b996-a58d-748b-e053-3a05fe0a3a96
|
150
|
|
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation, file dfa8b99c-2dbf-748b-e053-3a05fe0a3a96
|
139
|
|
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach, file dfa8b9a8-6b92-748b-e053-3a05fe0a3a96
|
117
|
|
Discrete time approximation of a COGARCH(p,q) model and its estimation, file dfa8b998-49af-748b-e053-3a05fe0a3a96
|
92
|
|
VIX computation based on affine stochastic volatility models in discrete time, file dfa8b99e-643d-748b-e053-3a05fe0a3a96
|
59
|
|
COGARCH(p,q) : Simulation and Inference with yuima Package, file dfa8b9a6-83dd-748b-e053-3a05fe0a3a96
|
53
|
|
On Properties of the MixedTS Distribution and Its Multivariate Extension, file dfa8b99c-5b97-748b-e053-3a05fe0a3a96
|
47
|
|
Finite Mixture Approximation of CARMA(p,q) Models, file dfa8b9a8-99a4-748b-e053-3a05fe0a3a96
|
40
|
|
Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data, file 856fdc41-0b50-43a2-9567-a0845ff603d1
|
38
|
|
Option pricing in a Garch model with tempered stable innovations, file a95ce206-ae21-4bcd-8551-7b12fac0db22
|
34
|
|
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project, file dfa8b998-2780-748b-e053-3a05fe0a3a96
|
18
|
|
VIX computation based on affine stochastic volatility models in discrete time, file dfa8b996-a7da-748b-e053-3a05fe0a3a96
|
8
|
|
A Hawkes model with CARMA(p,q) intensity, file ea9f7c1d-b697-4235-a4ba-6c9dd9e63bcb
|
8
|
|
A Hawkes model with CARMA(p,q) intensity, file 0dee4a45-7e1a-4fed-9cbc-3eb2ecfdb912
|
7
|
|
Option pricing in a dynamic variance gamma model, file dfa8b991-1849-748b-e053-3a05fe0a3a96
|
7
|
|
On Properties of the MixedTS Distribution and Its Multivariate Extension, file dfa8b99c-5527-748b-e053-3a05fe0a3a96
|
7
|
|
Noise inference for ergodic Lévy driven SDE, file 93ee8cb0-4efc-4d9a-9f38-4dc5a188d3b5
|
6
|
|
An efficient unified approach for spread option pricing in a copula market model, file 47f9d89c-a31c-434e-9174-dcfcb755254c
|
5
|
|
A Hawkes model with CARMA(p,q) intensity, file 48f88145-d430-4642-a1ba-84ae2a4d94c3
|
4
|
|
Portfolio selection with independent component analysis, file dfa8b995-0f1f-748b-e053-3a05fe0a3a96
|
4
|
|
COGARCH(p,q) : Simulation and Inference with yuima Package, file dfa8b996-c1b5-748b-e053-3a05fe0a3a96
|
4
|
|
Finite Mixture Approximation of CARMA(p,q) Models, file ef95724e-3746-464a-ac32-d10583290f22
|
4
|
|
Approximation of the variance gamma model with a finite mixture of normals, file 9720acf2-9455-4dcd-81b1-a124242f91bd
|
3
|
|
On multivariate extensions of the Mixed Tempered Stable distribution, file dfa8b997-3ec5-748b-e053-3a05fe0a3a96
|
3
|
|
null, file 9f0885e8-01cb-4709-a61c-8e3f58404b25
|
2
|
|
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation, file aa8c4185-69c6-4bd2-ab13-e453aa16df56
|
2
|
|
Risk parity for mixed tempered stable distributed sources of risk, file dfa8b99c-5696-748b-e053-3a05fe0a3a96
|
2
|
|
An efficient unified approach for spread option pricing in a copula market model, file 0955ada3-8b3a-412d-9510-d7cc59ac6c85
|
1
|
|
Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion, file 0e5b66c9-71e8-40f1-aaf7-010470f1cdba
|
1
|
|
Pricing Asian options in affine Garch models, file 390fab80-feca-40bc-98b1-722d511cabaa
|
1
|
|
An efficient unified approach for spread option pricing in a copula market model, file 496d0197-dc53-408e-bf46-8227f3092698
|
1
|
|
Risk measurement using the mixed tempered stable distribution, file 58de87c6-adef-427f-8546-a7c0a5a46015
|
1
|
|
Portfolio allocation using multivariate variance gamma models, file 5b9f4428-63b6-401d-b043-3a5c7d25de06
|
1
|
|
Mixed tempered stable distribution, file 5bbd4d98-811f-4fa5-ab7a-43d9892285ad
|
1
|
|
Option pricing in a conditional bilateral gamma model, file 76adcf36-cba8-4b53-b2b4-1c0ce57e75ca
|
1
|
|
Implicit expectiles and measures of implied volatility, file 7874085d-d6b0-4557-8986-a6ab9fdbdb62
|
1
|
|
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming, file 8b3377a8-3dbe-4b05-a3f2-a1c2a8c7155b
|
1
|
|
Implementation of Lévy CARMA model in Yuima package, file a2241a8e-ab01-4e72-9219-2b5a4a1f0e43
|
1
|
|
Option pricing in a Garch model with tempered stable innovations, file d40035ec-cbdb-434c-b9d6-18f6c393c7b8
|
1
|
|
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization, file dfa8b99c-32d4-748b-e053-3a05fe0a3a96
|
1
|
|
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences, file dfa8b9a5-172c-748b-e053-3a05fe0a3a96
|
1
|
|
Lévy CARMA models for shocks in mortality, file dfa8b9a8-db55-748b-e053-3a05fe0a3a96
|
1
|
|
Hedge fund portfolio allocation with higher moments and MVG models, file eaff1a82-2c3a-41cd-bc53-48e6ae5f3373
|
1
|
|
Option pricing in an exponential MixedTS Lévy process, file f17eee71-3f75-4bcf-b5cc-79aea6c9f173
|
1
|
|
Estimation of Lévy CARMA models in the yuima package: application on the financial time series, file fb1686c7-96ee-44da-b816-c02631b91916
|
1
|
| Totale |
2.337 |