Found: 11
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On Properties of the MixedTS Distribution and Its Multivariate Extension.
- Published in:
- International Statistical Review, 2018, v. 86, n. 3, p. 512, doi. 10.1111/insr.12265
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- Article
Implementation of Lévy CARMA model in Yuima package.
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- Computational Statistics, 2015, v. 30, n. 4, p. 1111, doi. 10.1007/s00180-015-0569-7
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- Article
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization.
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- Computational Management Science, 2019, v. 16, n. 1/2, p. 71, doi. 10.1007/s10287-018-0306-0
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- Article
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.
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- Computational Management Science, 2018, v. 15, n. 3/4, p. 599, doi. 10.1007/s10287-018-0328-7
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- Article
PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 2, p. 313, doi. 10.1142/S0219024911006371
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- Article
Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data.
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- Risks, 2022, v. 10, n. 12, p. 225, doi. 10.3390/risks10120225
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- Article
Option pricing in a conditional Bilateral Gamma model.
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- Central European Journal of Operations Research, 2014, v. 22, n. 2, p. 373, doi. 10.1007/s10100-013-0286-7
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- Article
Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation.
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- Journal of Time Series Analysis, 2018, v. 39, n. 5, p. 787, doi. 10.1111/jtsa.12406
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- Article
An efficient unified approach for spread option pricing in a copula market model.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 307, doi. 10.1007/s10479-023-05549-2
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- Article
Option pricing in an exponential MixedTS Lévy process.
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- Annals of Operations Research, 2018, v. 260, n. 1/2, p. 353, doi. 10.1007/s10479-016-2180-x
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- Article
Risk parity for Mixed Tempered Stable distributed sources of risk.
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- Annals of Operations Research, 2018, v. 260, n. 1/2, p. 375, doi. 10.1007/s10479-016-2394-y
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- Article