Financial market models with Lévy processes and time-varying volatility

Business & Economics

• Financial Markets 100%
• Stable Distribution 99%
• Time-varying Volatility 94%
• Market Model 72%
• Return Distribution 52%
• GARCH Model 46%
• Asset Returns 27%
• Normal Distribution 26%
• Asset Pricing 19%
• Change of Measure 12%
• Volatility Clustering 11%
• Fat Tails 11%
• S&P 500 Index 10%
• Return Volatility 10%
• Out-of-sample Forecasting 9%
• Forecasting Performance 9%
• Skewness 9%
• Option Prices 9%
• Asset Management 9%
• Alternative Models 9%
• Financial Assets 9%
• Portfolio Selection 9%
• Management Model 8%
• Modeling 5%
• Performance 5%
• Innovation 4%