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URN: urn:nbn:de:swb:90-296005

Portfolio Analysis with Multivariate Normal Tempered Stable Processes and Distributions

Krause, Dirk

Abstract:
Using the construction approach of Brownian subordination, the univariate framework of Normal Tempered Stable Lévy processes is extended to an arbitrary number of dimensions. A thorough study of the mathematical properties of the multivariate stochastic process is followed by various applications of its distributions in financial econometrics and portfolio analysis. Moreover, these distributions are employed in ARMA-GARCH models for capturing volatility clustering effects in financial markets.


Zugehörige Institution(en) am KIT Institut für Wirtschaftstheorie und Statistik (ETS)
Publikationstyp Hochschulschrift
Jahr 2011
Sprache Englisch
Identifikator KITopen ID: 1000029600
Verlag Karlsruhe
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Wirtschaftstheorie und Statistik (ETS)
Prüfungsdaten 06.12.2011
Referent/Betreuer Prof. S. T. Rachev
Schlagworte multivariate Lévy processes, Brownian subordination, financial econometrics, portfolio optimization, ARMA-GARCH models
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