Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests
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KeywordsComovement; asset prices; bivariate dependence; non-linearity; t-test; polynomial approximation; energy asset; (vanilla) European call and put options; crossÐGreeks.;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2006-09-16 (Econometrics)
- NEP-ENE-2006-09-16 (Energy Economics)
- NEP-ETS-2006-09-16 (Econometric Time Series)
- NEP-FMK-2006-09-16 (Financial Markets)
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