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

Elvira Di Nardo;Marina Marena;Patrizia Semeraro
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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https://arxiv.org/abs/2004.03933
Lévy process, subordination, cumulant, normal inverse Gaussian.
Elvira Di Nardo, Marina Marena, Patrizia Semeraro
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/1742925
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