Goodness‐of‐fit for regime‐switching copula models with application to option pricing
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Publication:5107622
DOI10.1002/cjs.11534zbMath1492.62137OpenAlexW3003689530MaRDI QIDQ5107622
Mamadou Y. Thioub, Bouchra R. Nasri, Bruno Rémillard
Publication date: 28 April 2020
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11534
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)
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