Correlated squared returns (Q2241899)

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Correlated squared returns
scientific article

    Statements

    title
    Correlated squared returns (English)
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    author
    Dilip B. Madan
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    King-Hang Wang
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    publication date
    9 November 2021
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    zbMATH Keywords
    correlated gamma processes
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    joint characteristic functions
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    digital moment estimation
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    path simulation
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    Identifiers

    DOI
    10.3934/puqr.2021007
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    Mathematics Subject Classification ID
    62P05
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    62M10
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    62H20
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    91B84
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    zbMATH DE Number
    7422658
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    OpenAlex ID
    W3175075087
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