INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS
DOI10.1142/S0219024920500296zbMath1457.91362OpenAlexW3125659374MaRDI QIDQ5147994
Publication date: 29 January 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024920500296
Lévy processessimulated likelihoodvariance gammadependence modelingLévy copulasweak multivariate subordination
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial markets (91G15)
Related Items (3)
Cites Work
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