Modeling tail dependence using stochastic volatility model
See-Woo Kim, Yong-Ki Ma, Ciprian Necula
| Year of publication: |
2023
|
|---|---|
| Authors: | Kim, See-Woo ; Ma, Yong-Ki ; Necula, Ciprian |
| Subject: | Gaussian copula | Joint transition density | Multiscale stochastic volatility | Perturbation theory | Rolling window methodology | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10271-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327243