Gaussian copula under multiscale volatility (Q3552654)
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scientific article; zbMATH DE number 5697283
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| default for all languages | No label defined |
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| English | Gaussian copula under multiscale volatility |
scientific article; zbMATH DE number 5697283 |
Statements
Gaussian copula under multiscale volatility (English)
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22 April 2010
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Gaussian copula
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regular and singular perturbations
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multiscale stochastic volatility
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tail dependence
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0.8042457699775696
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0.7389297485351562
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0.7356769442558289
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