Zobrazeno 1 - 10
of 648
pro vyhledávání: '"Mittnik A."'
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
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.
Publikováno v:
Risks, Vol 12, Iss 5, p 82 (2024)
We propose a doubly subordinated Lévy process, the normal double inverse Gaussian (NDIG), to model the time series properties of the cryptocurrency bitcoin. By using two subordinated processes, NDIG captures both the skew and fat-tailed properties o
Externí odkaz:
https://doaj.org/article/404d48aea3a8406c927596a053fcd9c0
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
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
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax on the rate
Externí odkaz:
http://arxiv.org/abs/1709.09068
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by multivariate fractional Brownian motion and multi
Externí odkaz:
http://arxiv.org/abs/1612.07016
Autor:
Kurz, Malte S., Mittnik, Stefan
Publikováno v:
In Econometrics and Statistics July 2022