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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

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

Persistent link: https://www.econbiz.de/10008603219

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market.

Guégan, Dominique; Zhang, Jing - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

Persistent link: https://www.econbiz.de/10005670883

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

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

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Persistent link: https://www.econbiz.de/10010750766

Portfolio optimization using multivariate t-copulas with conditionally skewed margins

Shekhar, Chirag; Trede, Mark - In: Review of economics & finance 9 (2017) 3, pp. 29-41

Persistent link: https://www.econbiz.de/10011718727

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

Optimal management of green certificates in the Swedish-Norwegian market

Benth, Fred Espen; Eriksson, Marcus; Westgaard, Sjur - In: The journal of energy markets 10 (2017) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10011999418

Estimating the COGARCH(1,1) model: a first go

Haug, Stephan; Klüppelberg, Claudia; Lindner, A.; Zapp, M. - 2005

We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are ergodic, the resulting estimators are consistent. We investigate the quality of our estimators in a...

Persistent link: https://www.econbiz.de/10010332972