Measure-invariance of copula functions as tool for testing no-arbitrage assumption

DOI10.1016/j.cam.2018.02.001zbMath1384.62302OpenAlexW2793633602WikidataQ114672451 ScholiaQ114672451MaRDI QIDQ1743947

Silvia Romagnoli

Publication date: 16 April 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.02.001

zbMATH Keywords

change of measurecopula functionsinvariance propertyabsence of arbitragestransform of margins

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models

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