On non-linear dependence of multivariate subordinated Levy processes

Di Nardo E.; Marena M.; Semeraro P.

首页> 外文期刊>Statistics & Probability Letters >On non-linear dependence of multivariate subordinated Levy processes

【24h】

On non-linear dependence of multivariate subordinated Levy processes

机译：关于多变量次级征收过程的非线性依赖性

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

Multivariate subordinated Levy 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. (C) 2020 Elsevier B.V. All rights reserved.

著录项

来源
《Statistics & Probability Letters》 |2020年第1期|共7页
作者
Di Nardo E.; Marena M.; Semeraro P.;
展开▼
作者单位

Univ Turin Dept Math G Peano Turin Italy;

Univ Turin Dept Econ &

Stat Turin Italy;

Politecn Torino Dept Math Sci G Lagrange Turin Italy;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类概率论（几率论、或然率论）;
关键词
Levy process; subordination; Cumulant; Normal inverse Gaussian;

机译：征收过程;从属;累积率;正常逆高斯;

相似文献

外文文献
中文文献
专利

1. On non-linear dependence of multivariate subordinated Levy processes [J] . Di Nardo E., Marena M., Semeraro P. Statistics & Probability Letters . 2020,第1期

机译：关于多变量次级征收过程的非线性依赖性
2. Weak subordination of multivariate Levy processes and variance generalised gamma convolutions [J] . Buchmann Boris, Lu Kevin W., Madan Dilip B. Bernoulli: official journal of the Bernoulli Society for Mathematical Statistics and Probability . 2019,第1期

机译：多元征收过程和方差广义伽玛综合的弱从属
3. On subordinated multivariate Gaussian Levy processes [J] . Grigelionis B Acta Applicandae Mathematicae: An International Journal on Applying Mathematics and Mathematical Applications . 2007,第1a3期

机译：从属多元高斯征程
4. Measures of Dependence for Multivariate Levy Distributions [C] . J. Boland, T. R. Hurd, M. Pivato, International conference on disordered and complex systems . 2001

机译：多元征收分布依赖的措施
5. Dependence structure for Levy processes and its application in finance. [D] . Chen, Qiwen. 2008

机译：征费流程的依存结构及其在金融中的应用。
6. Superior–subordinate dyads: Dependence of leader effectiveness on mutual reinforcement contingencies [O] . Ram K. Rao, T. C. Mawhinney 1991

机译：上级-下级二元组：领导者有效性对相互强化突发事件的依赖
7. First exit times of solutions of non-linear stochastic differential equations driven by symmetric Levy processes with alpha-stable components [O] . Imkeller, Peter, Pavlyukevich, Ilya 2006

机译：非线性随机微分解的第一个退出时间由具有α稳定分量的对称Levy过程驱动的方程
8. A Multivariate Study of Subordinate Perceptions and Attitudes of Minority and Majority Managers. [R] . Adams, E. F., Hulin, C. L. 1978

机译：少数民族和多数经理的从属感知和态度的多元研究。

On non-linear dependence of multivariate subordinated Levy processes

摘要

著录项

相似文献

相关主题

期刊订阅