Author:
Audrino Francesco,Barone-Adesi Giovanni
Subject
Economics and Econometrics,Finance
Reference16 articles.
1. A primer on the orthogonal GARCH model;Alexander,2001
2. Audrino, F., Barone-Adesi, G., 2003. A multivariate FGD technique to improve VaR computation in equity markets. Computational Management Science, forthcoming
3. Volatility estimation with functional gradient descent for very high-dimensional financial time series;Audrino;Journal of Computational Finance,2003
4. Audrino, F., Trojani, F., 2003. Historical yield curve scenarios generation without resorting to variance reduction techniques. Manuscript USI, Lugano, Switzerland
5. VaR without correlations for portfolio of derivative securities;Barone-Adesi;Journal of Futures Markets,1999
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