Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility

DOI10.1016/j.ejor.2023.11.033MaRDI QIDQ6556122

Tomohisa Yamakami, Kenichiro Shiraya

Publication date: 17 June 2024

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

copulafinancecurrency optionHermite polynomial expansioncorrection of probability density

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Portfolio optimization with a copula-based extension of conditional value-at-risk
• Hilbert space, boundary value problems and orthogonal polynomials
• Measuring exposure to dependence risk with random Bernstein copula scenarios
• Stochastic models for risk estimation in volatile markets: a survey
• A multivariate stochastic volatility model with applications in the foreign exchange market
• On a high-dimensional model representation method based on copulas
• Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Counterparty Credit Risk, Collateral and Funding
• Orthogonal Polynomials of Several Variables
• Best approximation in inner product spaces
• A directory of coefficients of tail dependence
• Is a Normal Copula the Right Copula?

This page was built for publication: Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility