Multifunctional Expectile Regression Estimation in Volterra Time Series: Application to Financial Risk Management
We aim to analyze the dynamics of multiple financial assets with variable volatility. Instead of a standard analysis based on the Black–Scholes model, we proceed with the multidimensional Volterra model, which allows us to treat volatility as a stochastic process. Taking advantage of the long memory...
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| Autori principali: | , , , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
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MDPI AG
2025-02-01
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| Serie: | Axioms |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/2075-1680/14/2/147 |
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