Correlation as probability: applications of Sheppard’s formula to financial assets

DOI10.1080/14697688.2017.1414510zbMath1406.62115OpenAlexW2789402697MaRDI QIDQ4554459

Javier Giner, Judit Mendoza Aguilar, Sandra Morini-Marrero

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1414510

zbMATH Keywords

correlationstock returnsbivariate normal distributionjoint probability

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Orthant-based variance decomposition in investment portfolios

Cites Work

• Hyperbolic distributions in finance
• A nested factor model for non-linear dependencies in stock returns
• Estimating correlation and covariance matrices by weighting of market similarity
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