The Stress-Dependent Random Walk
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DOI: 10.1142/S0219024915500545
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- Martin Gremm, 2016. "Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate," Papers 1605.03551, arXiv.org.
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Keywords
Market model; regime-switching; stochastic volatility; value at risk; market stress; lognormal random walk; volatility clustering; fat tails;
All these keywords.Statistics
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