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]

On non-linear dependence of multivariate subordinated Lévy processes

Semeraro, P.
2020

Abstract

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11583/2840766