12 citations · 22 across the 6 of their papers we have counts for
7 papers
Hedonic Models of Real Estate Prices: GAM and Environmental Factors
Jason R. Bailey, Davide Lauria, W. Brent Lindquist +2
We consider the use of P-spline generalized additive hedonic models for real estate prices in large U.S. cities, contrasting their predictive efficiency against linear and polynomi…
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
Davide Lauria, W. Brent Lindquist, Stefan Mittnik +1
ESG ratings provide a quantitative measure for socially responsible investment. We present a unified framework for incorporating numeric ESG ratings into dynamic pricing theory. Sp…
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
Abootaleb Shirvani, Stefan Mittnik, W. Brent Lindquist +1
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin…
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation
Cheng Peng, Young Shin Kim, Stefan Mittnik
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GAR…
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
Svetlozar Rachev, Stoyan Stoyanov, Stefan Mittnik +2
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predi…
Pricing derivatives in Hermite markets
Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik +1
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermi…
Pricing Derivatives in Hermite Markets
Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financi…