Nonlinear bivariate comovements of asset prices: methodology, tests and applications
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Publication:2655305
DOI10.1007/s10614-009-9186-2zbMath1195.91178MaRDI QIDQ2655305
Elisa Scalco, Marco Corazza, Anastasios G. Malliaris
Publication date: 25 January 2010
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-009-9186-2
polynomial approximation; comovement; non-linearity; asset prices; \(t\)-test; bivariate dependence; (vanilla) European call and put options; cross-Greeks; energy asset
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62H20: Measures of association (correlation, canonical correlation, etc.)
62J02: General nonlinear regression
41A10: Approximation by polynomials
Cites Work