Filtering Response Directions

DOI10.1137/20M1339830zbMath1476.91182OpenAlexW3203000103MaRDI QIDQ5162853

King-Hang Wang, Dilip B. Madan, Robert J. Elliott

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1339830

zbMATH Keywords

change of measurebilateral gammaself-decomposable

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Infinitely Divisible Laws Associated with Hyperbolic Functions
• MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Measure Theory and Filtering
• The Variance Gamma Process and Option Pricing
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Using transfer entropy to measure information flows between financial markets

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