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20102015
most citedResults on numerics for FBSDE with drivers of quadratic growth

13 citations · 15 across the 4 of their papers we have counts for

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q-fin.RM2015

Time-consistency of risk measures with GARCH volatilities and their estimation

Claudia Klüppelberg, Jianing Zhang

In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts…