A copula-based model of speculative price dynamics in discrete time (Q538184): Difference between revisions

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+5899198
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+Markov processes
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+copula function
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+efficient market hypothesis
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+https://doi.org/10.1016/j.jmva.2011.02.004
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+W2154064133
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+Modeling statistical dependence of Markov chains via copula models
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+Copulas and Temporal Dependence
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+Changes of filtrations and of probability measures
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+Q4230831
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+Estimation of copula-based semiparametric time series models
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+Efficient estimation of copula-based semiparametric Markov models
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@@ Property / cites work @@
+THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS
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@@ Property / cites work @@
+Copulas and Markov processes
@@ Property / cites work: Copulas and Markov processes / rank @@
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+The meta-elliptical distributions with given marginals
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+Q3996150
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@@ Property / cites work @@
+Noncausality in Continuous Time
@@ Property / cites work: Noncausality in Continuous Time / rank @@
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@@ Property / cites work @@
+COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
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@@ Property / cites work @@
+Q4382161
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+Q5706744
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+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
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+Copula–Based Models for Financial Time Series
@@ Property / cites work: Copula–Based Models for Financial Time Series / rank @@
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+Mathematics of Speculative Price
@@ Property / cites work: Mathematics of Speculative Price / rank @@
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+Statistical properties of parametric estimators for Markov chain vectors based on copula models
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+Publication:538184