Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 35 (2010)
Issue (Month): 1 (January)
Comovement; Asset prices; Bivariate dependence; Non-linearity; t-Test; Polynomial approximation; Energy asset; (vanilla) European call and put options; Cross-Greeks; 41A10; 62J02; C59; G19; Q49;
Find related papers by JEL classification:
- 41A - - - - - -
- 62J - - - - - -
- C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
- G19 - Financial Economics - - General Financial Markets - - - Other
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
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