English
| 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. |
Publication type:
Journal Articles
Evidence for R3C:
N
Publication Date:
Tuesday, December 14, 2021
Cluster:
Resilient Landscapes, Quality of Ecosystems and Well-being
Year: