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The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10013199649
and distribution of the product for two or more random variables via copulas to capture the dependence structures among … density and distribution of the product for two log-normal random variables on several different copulas, including Gaussian …, Student-t, Clayton, Gumbel, Frank, and Joe Copulas, and estimate some common measures including Kendall's coefficient, mean …
Persistent link: https://www.econbiz.de/10013200441
Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the...
Persistent link: https://www.econbiz.de/10012606040
of two dependent or independent random variables X1 and X2 by using copulas to capture the structures between X1 and X2 … two dependent normal random variables X1 and X2 in the case of Gaussian copulas. We then develop the theory on the median … Z to a larger family of symmetric distributions and symmetric copulas of X1 and X2 . Our results are the foundation of …
Persistent link: https://www.econbiz.de/10012611156
and distribution of the product for two or more random variables via copulas to capture the dependence structures among … density and distribution of the product for two log-normal random variables on several different copulas, including Gaussian …, Student-t, Clayton, Gumbel, Frank, and Joe Copulas, and estimate some common measures including Kendall’s coefficient, mean …
Persistent link: https://www.econbiz.de/10012015948
of two dependent or independent random variables X1 and X2 by using copulas to capture the structures between X1 and X2 … two dependent normal random variables X1 and X2 in the case of Gaussian copulas. We then develop the theory on the median … Z to a larger family of symmetric distributions and symmetric copulas of X1 and X2 . Our results are the foundation of …
Persistent link: https://www.econbiz.de/10012022301
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439