Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Arias-Serna, M. Andrea"'
Randomness in financial markets requires modern and robust multivariate models of risk measures. This paper proposes a new approach for modeling multivariate risk measures under Wasserstein barycenters of probability measures supported on location-sc
Externí odkaz:
http://arxiv.org/abs/2008.05824
This paper considers the use for Value-at-Risk computations of the so-called Beta-Kotz distribution based on a general family of distributions including the classical Gaussian model. Actually, this work develops a new method for estimating the Value-
Externí odkaz:
http://arxiv.org/abs/1806.10816
Autor:
Arias-Serna, M. Andrea1 (AUTHOR) marias@udemedellin.edu.co, Loubes, Jean Michel2 (AUTHOR), Caro-Lopera, Francisco J.3 (AUTHOR)
Publikováno v:
Risks. Sep2022, Vol. 10 Issue 9, pN.PAG-N.PAG. 15p.
Publikováno v:
RISTI: Iberian Journal on Information Systems & Technologies / Revista Ibérica de Sistemas e Tecnologias de Informação; Aug2021, Issue 44, p437-448, 12p