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

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

Umberto Cherubini2011

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Articlebronze2011

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

Umberto Cherubini · Sabrina Mulinacci · Silvia Romagnoli

42 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 2012The Econometrics of Financial Markets 1900Théorie de la spéculation 2015Proof that Properly Anticipated Prices Fluctuate Randomly 2011Quantitative Risk Management 1996The econometrics of financial markets 2006An Introduction to Copulas (Springer Series in Statistics)

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2019Determining Distribution for the Product of Random Variables by Using Copulas 2013A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio

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Year2011

Typearticle

Published2011-03-08

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations42

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2011.02.004

openalex_workW2154064133

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