Correlated squared returns

DOI10.3934/puqr.2021007zbMath1477.62300OpenAlexW3175075087MaRDI QIDQ2241899

Dilip B. Madan, King-Hang Wang

Publication date: 9 November 2021

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2021007

zbMATH Keywords

joint characteristic functionsdigital moment estimationcorrelated gamma processespath simulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)

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