Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Svetlozar Rachev"'
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:
Frontiers in Applied Mathematics and Statistics, Vol 9 (2023)
This study delves into the temporal dynamics within the equity market through the lens of bond traders. Recognizing that the riskless interest rate fluctuates over time, we leverage the Black-Derman-Toy model to trace its temporal evolution. To gain
Externí odkaz:
https://doaj.org/article/9136cee8f6114d8489c232917b147ba7
Autor:
Almira Biglova, Svetlozar Rachev
Publikováno v:
Investment Management & Financial Innovations, Vol 4, Iss 3 (2007)
Externí odkaz:
https://doaj.org/article/a1f71d6c3e9c44d79dd16f0117d3bda7
Publikováno v:
Investment Management & Financial Innovations, Vol 3, Iss 4 (2006)
Externí odkaz:
https://doaj.org/article/339ff80fb7b84c5cb65b14e71af7e951
Publikováno v:
Investment Management & Financial Innovations, Vol 3, Iss 3 (2006)
Externí odkaz:
https://doaj.org/article/a4faf1ec5834431a88d2c56b1f341f17
Autor:
Michael Grebeck, Svetlozar Rachev
Publikováno v:
Investment Management & Financial Innovations, Vol 2, Iss 1 (2005)
Externí odkaz:
https://doaj.org/article/8bb6ca2186aa453f8ba5072b098b1062
Publikováno v:
Investment Management & Financial Innovations, Vol 1, Iss 4 (2005)
Externí odkaz:
https://doaj.org/article/2ba01eed41084936904ade5c1c3854b6
In this paper we derive closed-form solutions for the cumulative density function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim-Rachev distribution, modified t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::71378331a8f4cb80e70c55b38ef65648
http://icfpub.som.yale.edu/publications/2569
http://icfpub.som.yale.edu/publications/2569
Autor:
Stefan Trueck, Svetlozar Rachev
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f5b903c6387ab1783001fd8ae72c43f5
https://doi.org/10.2139/ssrn.903260
https://doi.org/10.2139/ssrn.903260
In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::ab00a1377c6938ca126f4f4feb2c998a
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_05_01.pdf
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_05_01.pdf