A note on adjusting correlation matrices
From MaRDI portal
Publication:4551200
DOI10.1080/13504860210136721zbMath1013.91050OpenAlexW2071935850MaRDI QIDQ4551200
Elisa Luciano, Umberto Cherubini
Publication date: 5 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860210136721
Related Items (17)
Estimation of copula-based semiparametric time series models ⋮ Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ A mixed C-vine copula model for hedging price and volumetric risk in wind power trading ⋮ New Families of Copulas Based on Periodic Functions ⋮ A simple model of deferred callability in defaultable debt ⋮ A new methodology to create valid time-dependent correlation matrices via isospectral flows ⋮ Transmission Valuation Analysis based on Real Options with Price Spikes ⋮ Pricing bivariate option under GARCH processes with time-varying copula ⋮ On a one time-step Monte Carlo simulation approach of the SABR model: application to European options ⋮ Testing the Gaussian copula hypothesis for financial assets dependences ⋮ Valuing Bermudan options when asset returns are Lévy processes ⋮ Dependence structure of conditional Archimedean copulas ⋮ THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS ⋮ A Copula-based Markov Reward Approach to the Credit Spread in the European Union ⋮ Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market ⋮ Bivariate option pricing using dynamic copula models ⋮ Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
Cites Work
This page was built for publication: A note on adjusting correlation matrices
