Multivariate jump arrivals: The variance gamma case

MaRDI QIDQ2888105zbMATH OpenFDO

Authors Roberto Marfè

Publication date 30 May 2012

zbMATH Keywords

correlationdependenceLevy processesmultivariate asset pricingvariance gamma

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of association (correlation, canonical correlation, etc.) (62H20)

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