Get your news from a source that’s not owned and controlled by oligarchs. Sign up for the free Mother Jones Daily. In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of ...
Yep, the Gaussian copula. Again. “‘The Formula That Killed Wall Street’? The Gaussian Copula and the Material Cultures of Modelling” is a recommended read (H/T Tracy Alloway). It’s not really about ...
Dynamic method-of-moments (MoM) copula approach for estimating market risk. Meta-Student t model with EGARCH volatility-adjusted returns displays best accuracy. Significant reduction in copula ...
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