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...

Полное описание

Библиографические подробности

Главные авторы:	Somayah Hussain Alkhaldi, Fatimah Alshahrani, Mohammed Kbiri Alaoui, Ali Laksaci, Mustapha Rachdi
Формат:	Artigo
Язык:	Inglês
Опубликовано:	MDPI AG 2025-02-01
Серии:	Axioms
Предметы:	Volterra model asymmetric regression vector autoregression (VaR) expected shortfall (ES) expectile regression prediction markets
Online-ссылка:	https://www.mdpi.com/2075-1680/14/2/147
Метки:	Добавить метку Нет меток, Требуется 1-ая метка записи!