A copula-based model of speculative price dynamics in discrete time
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Harb, Etienne & Louhichi, Wael, 2017. "Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 963-975.
- Overbeck Ludger & Schmidt Wolfgang M., 2015. "Multivariate Markov Families of Copulas," Dependence Modeling, De Gruyter Open, vol. 3(1), pages 1-13, October.
- Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima, 2013. "Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 560-572.
More about this item
KeywordsMarkov processes Copula function Efficient Market Hypothesis Granger causality H-condition;
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