Three Non-Gaussian Models of Dependence in Returns

DOI10.1007/978-3-319-45875-5_5zbMath1372.62052OpenAlexW961369031MaRDI QIDQ4976495

Dilip B. Madan

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_5

zbMATH Keywords

variance gamma modellocal correlationindependent components analysisexchange traded funds

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Uses Software

• FastICA

Cites Work

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