IDEAS home Printed from https://ideas.repec.org/a/kap/fmktpm/v25y2011i4p477-478.html
   My bibliography  Save this article

Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering

Author

Listed:
  • Tobias Nigbur

Abstract

No abstract is available for this item.

Suggested Citation

  • Tobias Nigbur, 2011. "Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 477-478, December.
    • Handle: RePEc:kap:fmktpm:v:25:y:2011:i:4:p:477-478
    DOI: 10.1007/s11408-011-0171-0
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11408-011-0171-0
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11408-011-0171-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Young Shin Kim, 2021. "Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing," JRFM, MDPI, vol. 14(2), pages 1-18, February.
    2. Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Smooth monotone covariance for elliptical distributions and applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1555-1571, September.
    3. Jaehyung Choi, 2021. "Maximum Drawdown, Recovery, and Momentum," JRFM, MDPI, vol. 14(11), pages 1-25, November.
    4. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    5. Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:fmktpm:v:25:y:2011:i:4:p:477-478. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.