Nonlinear bivariate comovements of asset prices: methodology, tests and applications (Q2655305)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonlinear bivariate comovements of asset prices: methodology, tests and applications |
scientific article |
Statements
Nonlinear bivariate comovements of asset prices: methodology, tests and applications (English)
0 references
25 January 2010
0 references
comovement
0 references
asset prices
0 references
bivariate dependence
0 references
non-linearity
0 references
\(t\)-test
0 references
polynomial approximation
0 references
energy asset
0 references
(vanilla) European call and put options
0 references
cross-Greeks
0 references
