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Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
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Martingalized historical approach for option pricing
Chorro, C.; Guégan, Dominique; Ielpo, F. - In: Finance research letters 7 (2010) 1, pp. 24-28
Persistent link: https://www.econbiz.de/10003972384
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Does investor sentiment on social media provide robust information for Bitcoin returns predictability?
Guégan, Dominique; Renault, Thomas - In: Finance research letters 38 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012490215
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Copula function approaches for the analysis of serial and cross dependence in stock returns
Rivieccio, Giorgia; De Luca, Giovanni - In: Finance research letters 17 (2016), pp. 55-61
Persistent link: https://www.econbiz.de/10011596218