Login
- Title:
Risk Management Based on Stochastic Volatility
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Eberlein, E.; Kallsen, J.; Kristen, J.
- Non-TUM Co-author(s):
- ja
- Cooperation:
- 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
- Journal title:
- Journal of Risk
- Year:
- 2003
- Journal volume:
- 5
- Journal issue:
- 2
- Pages contribution:
- 19-44
- Language:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
BibTeX
versions
