INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS

DOI10.1142/S0219024920500296zbMath1457.91362OpenAlexW3125659374MaRDI QIDQ5147994

Markus Michaelsen

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500296

zbMATH Keywords

Lévy processessimulated likelihoodvariance gammadependence modelingLévy copulasweak multivariate subordination

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial markets (91G15)

Related Items (3)

Calibration for weak variance-alpha-gamma processes ⋮ Marginal consistent dependence modelling using weak subordination for Brownian motions ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets

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