Marginal consistent dependence modelling using weak subordination for Brownian motions

DOI10.1080/14697688.2018.1439182zbMath1407.62390OpenAlexW2784510394WikidataQ129883757 ScholiaQ129883757MaRDI QIDQ4619532

Alexander Szimayer, Markus Michaelsen

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1439182

zbMATH Keywords

Lévy processesmaximum likelihood estimationvariance gammadependence modellingnormal inverse Gaussianweak multivariate subordination

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Calibration for weak variance-alpha-gamma processes ⋮ INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS ⋮ Self-decomposability of weak variance generalised gamma convolutions ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ Necessity of weak subordination for some strongly subordinated Lévy processes

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