Elisa Scalco

Independent

No Address Available

United States

SCHOLARLY PAPERS

2

DOWNLOADS

103

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests

Number of pages: 26 Posted: 19 Oct 2007
Loyola University of Chicago - Department of Economics, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 81 (323,248)

Abstract:

Loading...

Comovement, asset prices, bivariate dependence, non-linearity, t-test, polynomial approximation, energy asset, (vanilla) European call and put options, cross-Greeks

2.

Verifying the Rényi Dependence Axioms for a Non-Linear Bivariate Comovement Index

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2015
Number of pages: 16 Posted: 30 May 2015
Marco Corazza and Elisa Scalco
Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 22 (543,677)

Abstract:

Loading...

Random variables, non-linear bivariate comovement, Rényi dependence axioms