Zero covariation returns

Madan, DB; Schoutens, W

Madan, DB (reprint author), Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA.

PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2018; 3 ():

Abstract

Asset returns are modeled by locally bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness ......

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