Implied basket correlation dynamics
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Publication:308412
DOI10.1515/strm-2014-1176zbMath1345.62176arXiv2009.09770OpenAlexW3101158158MaRDI QIDQ308412
Elena Silyakova, Wolfgang Karl Härdle
Publication date: 6 September 2016
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.09770
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Statistical methods; risk measures (91G70) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)
Uses Software
Cites Work
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