Elisa Scalco

Independent

SCHOLARLY PAPERS

2

DOWNLOADS

139

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 Chicago, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 100 (449,092)

Abstract:

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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 39 (724,808)

Abstract:

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