The topic of this paper is the invariance of copula function under particular transforms of margins. The concept of invariance has been studied in the seminal ...

Copulas, which are invariant under margins' transforms induced by some change of measure, are investigated. It is emphasized that this particular kind of ...

Copulas, which are invariant under margins' transforms induced by some change of measure, are investigated. It is emphasized that this particular kind of ...

Silvia Romagnoli (2018). Measure-invariance of copula functions as tool for testing no-arbitrage assumption. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, ...

摘要. Copulas, which are invariant under margins' transforms induced by some change of measure, are investigated. It is emphasized that this particular kind ...

Apr 25, 2024 · Measure-invariance of copula functions as tool for testing no-arbitrage assumption. J. Comput. Appl. Math. 338: 80-90 (2018); 2016. [j4]. view.

Aug 30, 2023 · Measure-invariance of copula functions as tool for testing no-arbitrage assumption. J. Comput. Appl. Math., 338 (2018), pp. 80-90. View PDF ...

Measure-invariance of copula functions as tool for testing no-arbitrage assumption. Article. Feb 2018. Silvia Romagnoli. Copulas, which are ...

Silvia Romagnoli : Measure-invariance of copula functions as tool for testing no-arbitrage assumption.

Hence we can state that if the model verifies the m-invariance but is refused by the statistical test, then the no-arbitrage assumption should be refused too, ...