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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Autors principals:	Somayah Hussain Alkhaldi, Fatimah Alshahrani, Mohammed Kbiri Alaoui, Ali Laksaci, Mustapha Rachdi
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2025-02-01
Col·lecció:	Axioms
Matèries:	Volterra model asymmetric regression vector autoregression (VaR) expected shortfall (ES) expectile regression prediction markets
Accés en línia:	https://www.mdpi.com/2075-1680/14/2/147
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