Francesco Bianchi

Catholic University of the Sacred Heart of Milan

Largo Gemelli, 1

Via Necchi 9

Milan, MI 20123

Italy

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Measuring Risk with COGARCH(p,q) Models

Number of pages: 31 Posted: 17 Oct 2016
Francesco Bianchi, Lorenzo Mercuri and Edit Rroji
Catholic University of the Sacred Heart of Milan, University of Milan and Polytechnic University of Milan - Department of Mathematics
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Abstract:

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ICA-COGARCH(p,q) Model, Risk Measures, Portfolio Selection, Tree Construction