Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses ...

James Chen, CMT is an expert trader, investment adviser, and global market strategist. Khadija Khartit is a strategy, investment, and funding expert, and an educator of fintech and strategic finance ...