Sydney, NSW 2052
University of New South Wales - Australian School of Business
in Total Papers Downloads
in Total Papers Citations
Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor
growth optimal portfolio, time dependent constant elasticity of variance model, nonparametric kernel
Electricity Markets, Copula, Dependence Modeling, Risk Management
variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging
Industry concentration, competition, stock return
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ACFI.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Competition, Industry concentration, Innovation, Schumpeter
growth optimal portfolio, constant elasticity of variance model, kernel estimation, diffusion coeffcient function, derivative hedging
international equity market indices, Student-t distribution, symmetric generalized hyperbolic distribution, time-varying copula, Value-at-Risk, world stock index
Electricity modeling, nonparametric estimation, futures pricing, market price of risk
Long dated bond pricing, stochastic interest rate, growth optimal portfolio, nonparametric kernel
Diffusion coefficient function, diversified world stock index, square root process, nonparametric estimation, kernel density
longevity risk management; longevity swaps; longevity options; hedge effectiveness
Oil futures, CDS spread, realized jumps, realized volatility
diversified world stock index, Student-t distribution, time-varying copula, Value-at-Risk, expected shortfall
longevity risk, Olivier-Smith model, forward-rate mortality framework, minimum covariance pattern, copulas
Tail value-at-risk, tail conditional expectation, tail variance premium, generalised hyperbolic distributions
Tail Conditional Expectation, Skewed Generalised Hyperbolic Distributions, Conditional Tail Risk Measures
High Frequency, Electricity, Instantaneous Demand, Temperature, Generalised Additive Model (GAM)
money market bubbles; strict local martingales; Markov chain Monte Carlo; stochastic volatility models; benchmark approach
independently floating exchange rates, commodity prices, dependence modelling, copulas
Affine jump-diffusion models, Volatility indices, Jump activity, Model specification
Variable annuity, Guaranteed Minimum Benefits (GMB), Fourier Space Time-stepping (FST) algorithm, mortality risk, interest rate risk
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.810 seconds