Three non-Gaussian models of dependence in returns
Dilip B. Madan
| Year of publication: |
[2016]
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|---|---|
| Authors: | Madan, Dilip B. |
| Published in: |
Advanced modelling in mathematical finance : in honour of Ernst Eberlein. - Cham : Springer Verlag, ISBN 978-3-319-45873-1. - 2016, p. 107-130
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| Subject: | Variance gamma model | Exchange traded funds | Independent components analysis | Local correlation | Korrelation | Correlation | Kapitaleinkommen | Capital income | Indexderivat | Index derivative | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-45875-5_5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011800343