Código QR (código de barras bidimensional)

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...

Fuld beskrivelse

Na minha lista:
Principais autores: Somayah Hussain Alkhaldi, Fatimah Alshahrani, Mohammed Kbiri Alaoui, Ali Laksaci, Mustapha Rachdi
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2025-02-01
Serier:Axioms
Fag:
Volterra model
asymmetric regression
vector autoregression (VaR)
expected shortfall (ES)
expectile regression
prediction markets
Online adgang:https://www.mdpi.com/2075-1680/14/2/147
Tags: Tilføj Tag
Ingen Tags, Vær først til at tagge denne postø!

Lignende værker