A nested factor model for non-linear dependencies in stock returns
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Publication:4619483
DOI10.1080/14697688.2014.994668zbMath1406.91405arXiv1309.3102OpenAlexW1973237724MaRDI QIDQ4619483
Rémy Chicheportiche, Jean-Philippe Bouchaud
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.3102
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- Correlation structure of extreme stock returns
- Theory of Financial Risk and Derivative Pricing
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- On a Measure of Dependence Between two Random Variables
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