scientific article; zbMATH DE number 7255568

zbMath1463.35291MaRDI QIDQ5125155

Songsak Sriboonchitta, Woraphon Yamaka, Rungrapee Phadkantha

Publication date: 5 October 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/3908

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

dependenceagriculture commodity futuresMarkov switching copulamixture distribution regimes

Mathematics Subject Classification ID

Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Modeling dependence dynamics through copulas with regime switching
• Derivatives and Fisher information of bivariate copulas
• An introduction to copulas.
• Generalized autoregressive conditional heteroscedasticity
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Calibration ofρValues for Testing Precise Null Hypotheses
• How the Maximal Evidence of P-Values Against Point Null Hypotheses Depends on Sample Size

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