Limit theorems and stochastic models for dependence and contagion in financial markets
We analyse the effect of dependence between financial assets in the setting of the variance risk premium and the Brownian semistationary process. The variance risk premium (VRP) refers to the premium demanded for holding assets whose variance is exposed to stochastic shocks. This thesis identifies a...
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Imperial College London
2016
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.733136 |