On non-linear dependence of multivariate subordinated Lévy processes

04/08/2020
by   Elvira Di Nardo, et al.
0

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

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset