A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET
From MaRDI portal
Publication:5305106
DOI10.1142/S0219622009003612zbMath1186.91236MaRDI QIDQ5305106
Publication date: 19 March 2010
Published in: International Journal of Information Technology & Decision Making (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (18)
A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model ⋮ Unnamed Item ⋮ Synchronization for a class of fractional-order hyperchaotic system and its application ⋮ Randomized binomial tree and pricing of American-style options ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ A numerical study for robust active portfolio management with worst-case downside risk measure ⋮ Time-varying risk attitude and conditional skewness ⋮ Solvability for a fractional order three-point boundary value system at resonance ⋮ Studying term structure of SHIBOR with the two-factor Vasicek model ⋮ Extension of modified Polak-Ribière-Polyak conjugate gradient method to linear equality constraints minimization problems ⋮ Global convergence of a modified Hestenes-Stiefel nonlinear conjugate gradient method with Armijo line search ⋮ On the one-leg methods for solving nonlinear neutral differential equations with variable delay ⋮ Higher order mean squared error of generalized method of moments estimators for nonlinear models ⋮ Risk measurement for portfolio credit risk based on a mixed Poisson model ⋮ Fractional order stochastic differential equation with application in European option pricing ⋮ Linear control of fractional-order financial chaotic systems with input saturation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On nonparametric measures of dependence for random variables
- Copula convergence theorems for tail events.
- RISK ANALYSIS UNDER PARTIAL PRIOR INFORMATION AND NONMONOTONE UTILITY FUNCTIONS
- A GEOMETRICAL METHOD ON MULTIDIMENSIONAL DYNAMIC CREDIT EVALUATION
- INFORMATION TECHNOLOGY INVESTMENT DECISIONS UNDER ASYMMETRIC INFORMATION: A MODIFIED RATIONAL EXPECTATION MODEL
- Some Concepts of Dependence
This page was built for publication: A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET
