Forecasting portfolio returns with skew‐geometric Brownian motions
Author:
Affiliation:
1. Department of Methods and Models for Economics, Territory and Finance Università degli Studi di Roma “La Sapienza” Rome Italy
2. Department of Economics and Finance Università degli Studi di Bari “Aldo Moro” Bari Italy
Funder
Universita degli Studi di Bari Aldo Moro
Publisher
Wiley
Subject
Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2678
Reference58 articles.
1. Correlation products and risk management issues;Mahoney JM;FRBNY Econ Policy Rev,1995
2. Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
3. Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions
4. Simulating heterogeneous corporate dynamics via the Rulkov map
5. Financial markets’ deterministic aspects modeled by a low-dimensional equation
Cited by 10 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Modelling the Chinese crude oil futures returns through a skew‐geometric Brownian motion correlated with the market volatility index process for pricing financial options;Applied Stochastic Models in Business and Industry;2024-08-06
2. Quantile Hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint;Journal of Computational and Applied Mathematics;2024-08
3. Skew–Brownian processes for estimating the volatility of crude oil Brent;International Journal of Forecasting;2024-07
4. Brazilian Selic Rate Forecasting with Deep Neural Networks;Computational Economics;2024-04-15
5. Modeling volatility of disaster-affected populations: A non-homogeneous geometric-skew Brownian motion approach;Communications in Nonlinear Science and Numerical Simulation;2024-03
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3