GARCH Processes with Non-parametric Innovations for Market Risk Estimation.
José Miguel Hernández-LobatoDaniel Hernández-LobatoAlberto SuárezPublished in: ICANN (2) (2007)
Keyphrases
- decision making
- stock price
- business environment
- risk neutral
- stock market
- semi parametric
- estimation accuracy
- black scholes
- financial crisis
- portfolio management
- exchange rate
- risk evaluation
- risk measures
- risk aversion
- investment decisions
- accurate estimation
- parametric models
- estimation algorithm
- parameter estimation
- portfolio optimization
- risk assessment
- risk management
- option pricing
- hypothesis test
- process model
- maximum likelihood
- least squares