Series representations for multivariate time-changed Lévy models (Q518858): Difference between revisions

@@ Property / DOI @@
-.1007/s11009-015-9461-8
@@ Property / DOI: 10.1007/s11009-015-9461-8 / rank @@
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@@ Property / author @@
+Sumit K. Garg
@@ Property / author: Sumit K. Garg / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J65
@@ Property / Mathematics Subject Classification ID: 60J65 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F99
@@ Property / Mathematics Subject Classification ID: 62F99 / rank @@
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@@ Property / zbMATH DE Number @@
+6698223
@@ Property / zbMATH DE Number: 6698223 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time-changed Lévy process
@@ Property / zbMATH Keywords: time-changed Lévy process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lévy copula
@@ Property / zbMATH Keywords: Lévy copula / rank @@
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@@ Property / zbMATH Keywords @@
+subordinated Brownian motion
@@ Property / zbMATH Keywords: subordinated Brownian motion / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11009-015-9461-8
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@@ Property / OpenAlex ID @@
+W1224804998
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@@ Property / cites work @@
+A multivariate extension of a vector of two-parameter Poisson–Dirichlet processes
+Normal rank
@@ Property / cites work @@
+Q2890526
@@ Property / cites work: Q2890526 / rank @@
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@@ Property / cites work @@
+A vector of Dirichlet processes
@@ Property / cites work: A vector of Dirichlet processes / rank @@
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+Multivariate subordination, self-decomposability and stability
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+Change of Time and Change of Measure
@@ Property / cites work: Change of Time and Change of Measure / rank @@
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@@ Property / cites work @@
+Normal Variance-Mean Mixtures and z Distributions
@@ Property / cites work: Normal Variance-Mean Mixtures and z Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of the activity of jumps in time-changed Lévy models
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+Q4223075
@@ Property / cites work: Q4223075 / rank @@
+Normal rank
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+Nonparametric inference on Lévy measures and copulas
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+Stochastic Volatility for Lévy Processes
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+Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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+Financial Modelling with Jump Processes
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+A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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+Construction and sampling of Archimedean and nested Archimedean Lévy copulas
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+Vine constructions of Lévy copulas
@@ Property / cites work: Vine constructions of Lévy copulas / rank @@
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+Numerical methods for Lévy processes
@@ Property / cites work: Numerical methods for Lévy processes / rank @@
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+Slice sampling mixture models
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+Characterization of dependence of multidimensional Lévy processes using Lévy copulas
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+On Bayesian nonparametric modelling of two correlated distributions
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+Vectors of two-parameter Poisson-Dirichlet processes
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+Multivariate time changes for Lévy asset models: characterization and calibration
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+Processes that can be embedded in Brownian motion
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+An introduction to copulas.
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@@ Property / cites work: Q4937701 / rank @@
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+Q3563048
@@ Property / cites work: Q3563048 / rank @@
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@@ Property / DOI @@
+.1007/S11009-015-9461-8
@@ Property / DOI: 10.1007/S11009-015-9461-8 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:518858