CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS

  1. Michael Kalkbrener1,
  2. Natalie Packham2

Article first published online: 18 FEB 2013

DOI: 10.1111/mafi.12029

Additional Information

How to Cite

Kalkbrener, M. and Packham, N. (2013), CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS. Mathematical Finance. doi: 10.1111/mafi.12029

Author Information

  1. 1

    Deutsche Bank AG

  2. 2

    Frankfurt School of Finance & Management

*Natalie Packham, Department of Finance, Frankfurt School of Finance & Management, Sonnemannstr 9-11, 60314 Frankfurt am Main, Germany; e-mail: n.packham@fs.de.

  1. The authors wish to thank Steffi Höse, Claudia Klüppelberg, Ludger Overbeck, Ursula Walther, and two anonymous referees for comments and discussions.

  2. The views expressed in this paper are those of the authors and do not necessarily reflect the position of Deutsche Bank AG.

Publication History

  1. Article first published online: 18 FEB 2013
  2. Manuscript received October 2010; final revision received October 2012.

SEARCH

SEARCH BY CITATION

ARTICLE TOOLS

Get PDF (898K)

Options for accessing this content:

  • If you have access to this content through a society membership, please first log in to your society website.
  • If you would like institutional access to this content, please recommend the title to your librarian.
  • Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
  • You can purchase online access to this Article for a 24-hour period (price varies by title)
    • If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
    • New Users: Please register, then proceed to purchase the article.

If your institution is a registered Wiley Online Library customer, you can log in under your institution's name to see our content. This access is provided by Shibboleth or Athens.

Type your institution's name in the box below. If your institution is a Wiley customer, it will appear in the list of suggested institutions.

Please register to:

  • Save publications, articles and searches
  • Get email alerts
  • Get all the benefits mentioned below!

Register now >

Get PDF (898K)