Zobrazeno 1 - 10
of 207
pro vyhledávání: '"Mittnik, Stefan"'
We consider the use of P-spline generalized additive hedonic models for real estate prices in large U.S. cities, contrasting their predictive efficiency against linear and polynomial based generalized linear models. Using intrinsic and extrinsic fact
Externí odkaz:
http://arxiv.org/abs/2210.14266
ESG ratings provide a quantitative measure for socially responsible investment. We present a unified framework for incorporating numeric ESG ratings into dynamic pricing theory. Specifically, we introduce an ESG-valued return that is a linearly const
Externí odkaz:
http://arxiv.org/abs/2206.02854
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin prices and gives rise to an arbitrage free, option pricing model. In t
Externí odkaz:
http://arxiv.org/abs/2109.15051
Publikováno v:
J. Risk Financial Manag. 2022, 15(5), 230
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS
Externí odkaz:
http://arxiv.org/abs/2009.11367
Autor:
Shirvani, Abootaleb1 (AUTHOR) ashirvan@kean.edu, Mittnik, Stefan2 (AUTHOR) mittnik@gmx.de, Lindquist, William Brent3 (AUTHOR) brent.lindquist@ttu.edu, Rachev, Svetlozar3 (AUTHOR) zari.rachev@ttu.edu
Publikováno v:
Risks. May2024, Vol. 12 Issue 5, p82. 21p.
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset returns, The Equity Premium, (The Volatility Puzzle
Externí odkaz:
http://arxiv.org/abs/1710.03211