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20142026
most citedEstimation and Simulation of a COGARCH(p,q) model in the YUIMA project

3 citations · 5 across the 10 of their papers we have counts for

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Showing 2014Show all

2 papers · 1 filter

q-fin.RM2014★ 1 cited

Parametric Risk Parity

Lorenzo Mercuri, Edit Rroji

Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independe…

q-fin.ST2014

Mixed Tempered Stable distribution

Edit Rroji, Lorenzo Mercuri

In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption lea…