Nonlinear bivariate comovements of asset prices: methodology, tests and applications
Publication:2655305
DOI10.1007/s10614-009-9186-2zbMath1195.91178OpenAlexW2091290114MaRDI QIDQ2655305
Elisa Scalco, Marco Corazza, Anastasios G. Malliaris
Publication date: 25 January 2010
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-009-9186-2
polynomial approximationcomovementnon-linearityasset prices\(t\)-testbivariate dependence(vanilla) European call and put optionscross-Greeksenergy asset
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) General nonlinear regression (62J02) Approximation by polynomials (41A10)
Cites Work
This page was built for publication: Nonlinear bivariate comovements of asset prices: methodology, tests and applications