A copula-based model of speculative price dynamics in discrete time

DOI10.1016/j.jmva.2011.02.004zbMath1274.60226MaRDI QIDQ538184

Sabrina Mulinacci, Umberto Cherubini, Silvia Romagnoli

Publication date: 23 May 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.02.004

zbMATH Keywords

Markov processes; Granger causality; efficient market hypothesis; copula function; H-condition

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G42: Martingales with discrete parameter

62H20: Measures of association (correlation, canonical correlation, etc.)

60J05: Discrete-time Markov processes on general state spaces

91G80: Financial applications of other theories

Related Items

Lévy copulae for financial returns, Multivariate Markov families of copulas, Measure-invariance of copula functions as tool for testing no-arbitrage assumption, Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation

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