Measure-invariance of copula functions as tool for testing no-arbitrage assumption

DOI10.1016/J.CAM.2018.02.001MaRDI QIDQ1743947zbMATH OpenOpenAlexWikidataFDO

Authors Silvia Romagnoli

Publication date 16 April 2018

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2018.02.001

zbMATH Keywords

change of measurecopula functionsinvariance propertyabsence of arbitragestransform of margins

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A Dependence Metric for Possibly Nonlinear Processes
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• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Consistent Nonparametric Entropy-Based Testing
• Copulas and Markov processes
• Entropy testing for nonlinear serial dependence in time series
• Implications of temporal aggregation on the relation between two time series
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• Linearity testing using local polynomial approximation
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• Martingales and stochastic integrals in the theory of continuous trading
• Nonparametric entropy-based tests of independence between stochastic processes
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• The dependence structure of running maxima and minima: results and option pricing applications
• Transformations of copulas.

Cited in

(1)

• A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models

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