Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications
| Year of publication: |
2010
|
|---|---|
| Authors: | Corazza, Marco ; Malliaris, A. ; Scalco, Elisa |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 35.2010, 1, p. 1-23
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Comovement | Asset prices | Bivariate dependence | Non-linearity | t-Test | Polynomial approximation | Energy asset | (vanilla) European call and put options | Cross-Greeks |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008458348