Time consistency of Levy models

Abstract

Time consistency of the models used is an important ingredient to improve risk management. The empirical investigation in this article gives evidence for some models driven by Levy processes to be highly consistent. This means that they provide a good statistical fit of empirical distributions of returns not only on the timescale used for calibration but on various other timescales as well. As a result these models produce more reliable risk numbers and derivative prices.

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Research Papers in Economics

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Last time updated on 06/07/2012

This paper was published in Research Papers in Economics.

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