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Three Non-Gaussian Models of Dependence in Returns - MaRDI portal

Three Non-Gaussian Models of Dependence in Returns (Q4976495)

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scientific article; zbMATH DE number 6754918
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Three Non-Gaussian Models of Dependence in Returns
scientific article; zbMATH DE number 6754918

    Statements

    title
    Three Non-Gaussian Models of Dependence in Returns (English)
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    author
    Dilip B. Madan
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    publication date
    31 July 2017
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    Mathematics Subject Classification ID
    62P05
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    60G51
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    62H20
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    zbMATH DE Number
    6754918
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    zbMATH Keywords
    variance gamma model
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    exchange traded funds
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    independent components analysis
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    local correlation
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    OpenAlex ID
    W961369031
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