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 |
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