Gaussian copula under multiscale volatility

DOI10.1002/ASMB.717MaRDI QIDQ3552654zbMATH OpenOpenAlexFDO

Authors Yongqing Xu, Liping Song

Publication date 22 April 2010

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.717

zbMATH Keywords

Gaussian copulamultiscale stochastic volatilityregular and singular perturbationstail dependence

Mathematics Subject Classification ID

Diffusion processes (60J60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Multiscale Stochastic Volatility Asymptotics

Cited in

(5)

• Correlated log-normal random variables under a multiscale volatility model
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• Gaussian copula of stable random vectors and application

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