Multivariate subordinated Lévy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets through multivariate cumulants of these processes, for which we provide a closed form formula by using the multi-index generalized Bell polynomials. Using multivariate cumulants, we perform a sensitivity analysis, to investigate non-linear dependence as a function of the model parameters driving the dependence structure.
On non-linear dependence of multivariate subordinated Lévy processes / Di Nardo, E.; Marena, M.; Semeraro, P.. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - 166(2020), p. 108870. [10.1016/j.spl.2020.108870]
Titolo: | On non-linear dependence of multivariate subordinated Lévy processes | |
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Data di pubblicazione: | 2020 | |
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Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.spl.2020.108870 | |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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DiNardoMarenaS_postprint.pdf | 2. Post-print / Author's Accepted Manuscript | ![]() | Embargo: 10/07/2022 Richiedi una copia | |
1-s2.0-S0167715220301735-main.pdf | 2a Post-print versione editoriale / Version of Record | Non Pubblico - Accesso privato/ristretto | Administrator Richiedi una copia |
http://hdl.handle.net/11583/2840766