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Risk measures with Generalized Secant Hyperbolic Dependence
| Content Provider | Semantic Scholar |
|---|---|
| Author | Palmitesta, Paola Provasi, Corrado |
| Copyright Year | 2008 |
| Abstract | In this paper we propose to model the dependence of multiple time series returns with a multivariate extension of the generalized secant hyperbolic distribution (GSH) using the NORTA (NORmal-to-Anything) approach and the Koehler and Symanowski copula function. The two methodologies permit to generate random vectors with marginals distributed as a GSH distribution and given correlation matrix, which can be used to measure the risk of a portfolio using the Monte Carlo method. |
| Starting Page | 136 |
| Ending Page | 137 |
| Page Count | 2 |
| File Format | PDF HTM / HTML |
| Volume Number | 76 |
| Alternate Webpage(s) | http://repec.deps.unisi.it/quaderni/76DMQ.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |