Zero covariation returns
Abstract Asset returns are modeled by locally bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2018-06-01
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| Series: | Probability, Uncertainty and Quantitative Risk |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41546-018-0031-1 |