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- Titel:
Risk Management Based on Stochastic Volatility
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Eberlein, E.; Kallsen, J.; Kristen, J.
- Nicht-TUM Koautoren:
- ja
- Kooperation:
- national
- Abstract:
- Risk management approaches that do not incorporate randomly changing volatility tend to under- or overestimate the risk depending on current market conditions. We show how some popular stochastic volatility models in combination with the hyperbolic model introduced in Eberlein and Keller (1995) can be applied quite easily for risk management purposes. Moreover, we compare their relative performance on the basis of German stock index data.
- Intellectual Contribution:
- Discipline-based Research
- Zeitschriftentitel:
- Journal of Risk
- Jahr:
- 2003
- Band / Volume:
- 5
- Heft / Issue:
- 2
- Seitenangaben Beitrag:
- 19-44
- Sprache:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
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