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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2009
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010738494
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2007
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010750828
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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
Guegan, Dominique; Zang, Jing - In: The European Journal of Finance 15 (2009) 7-8, pp. 777-795
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10008603219
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Pricing bivariate option under GARCH processes with time-varying copula.
Zhang, Jing; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10005510619
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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010738655
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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010750766
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Change analysis of dynamic copula for measuring dependence in multivariate financial data.
Guégan, Dominique; Zhang, Jing - Maison des Sciences Économiques, Université Paris 1 … - 2006
in the dependence structure. Recently, two methods to analyze such changes using copula have been proposed. The first … approach only investigates the changes of copula parameters while ignoring the possibility of the changing for the copula … family. The other one stresses to inspect any change for copulas by determining the best copula on every subsamples divided …
Persistent link: https://www.econbiz.de/10005696854
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Multivariate return decomposition: Theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolay - 2015
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10011460618
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Non-stationarity and meta-distribution.
Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...
Persistent link: https://www.econbiz.de/10005510618
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A Meta-Distribution for Non-Stationary Samples
Guégan, Dominique - School of Economics and Management, University of Aarhus - 2009
In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory effect, we build a sequence of stationary processes...
Persistent link: https://www.econbiz.de/10005025509