Measure-invariance of copula functions as tool for testing no-arbitrage assumption (Q1743947): Difference between revisions

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Property / DOI: 10.1016/j.cam.2018.02.001 / rank
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Property / Wikidata QID: Q114672451 / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.cam.2018.02.001 / rank
 
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Property / OpenAlex ID: W2793633602 / rank
 
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Latest revision as of 07:33, 11 December 2024

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Measure-invariance of copula functions as tool for testing no-arbitrage assumption
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    Measure-invariance of copula functions as tool for testing no-arbitrage assumption (English)
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    16 April 2018
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    change of measure
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    copula functions
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    invariance property
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    transform of margins
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    absence of arbitrages
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