Smooth monotone covariance for elliptical distributions and applications in finance
Publication:5245911
DOI10.1080/14697688.2014.911949zbMath1402.62263OpenAlexW2084721401MaRDI QIDQ5245911
Dmitry M. Malioutov, Frank J. Fabozzi, Xiao-Ping Zhou, Svetlozar T. Rachev
Publication date: 16 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.911949
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Derivative securities (option pricing, hedging, etc.) (91G20) Analysis of variance and covariance (ANOVA) (62J10) Portfolio theory (91G10)
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Cites Work
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