A copula-based model of speculative price dynamics in discrete time

DOI10.1016/J.JMVA.2011.02.004zbMath1274.60226OpenAlexW2154064133MaRDI QIDQ538184

Sabrina Mulinacci, Umberto Cherubini, Silvia Romagnoli

Publication date: 23 May 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.02.004

zbMATH Keywords

Markov processesGranger causalityefficient market hypothesiscopula functionH-condition

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Measures of association (correlation, canonical correlation, etc.) (62H20) Discrete-time Markov processes on general state spaces (60J05) Financial applications of other theories (91G80)

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COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ Mixing and moments properties of a non-stationary copula-based Markov process ⋮ Hedging cryptos with Bitcoin futures ⋮ Multivariate Markov families of copulas ⋮ Unnamed Item ⋮ Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation ⋮ Measure-invariance of copula functions as tool for testing no-arbitrage assumption ⋮ A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models ⋮ Lévy copulae for financial returns ⋮ ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES

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