Gaussian copula under multiscale volatility

DOI10.1002/ASMB.717zbMath1194.91205OpenAlexW4254179834MaRDI QIDQ3552654

Liping Song, Yongqing Xu

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.717

zbMATH Keywords

tail dependenceGaussian copularegular and singular perturbationsmultiscale stochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Diffusion processes (60J60)

Cites Work

• Multiscale Stochastic Volatility Asymptotics

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