Multivariate elliptic processes

DOI10.1111/J.1467-9574.2010.00465.XMaRDI QIDQ6573276zbMATH OpenFDO

Authors N. H. Bingham, John M. Fry, Rüdiger Kiesel

Publication date 16 July 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

Lévy processesmultivariate elliptic processesrisk driverssums-of-diffusions

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Stochastic processes (60Gxx) Inference from stochastic processes (62Mxx)

Cites work

• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 2095966 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 5066273 (Why is no real title available?)
• A semi-parametric approach to risk management
• An extension of Goldie's result and further results in infinite divisibility
• Continuous-time ARMA processes
• Diffusion-type models with given marginal distribution and autocorrelation function
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
• Estimating the degree of activity of jumps in high frequency data
• Estimating the tail-dependence coefficient: properties and pitfalls
• Financial Modelling with Jump Processes
• Generalized Linear Models with Random Effects
• Hedging life insurance contracts in a Lévy process financial market
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
• Lévy processes and self-decomposability in finance
• Microstructure noise in the continuous case: the pre-averaging approach
• Modelling dynamic portfolio risk using risk drivers of elliptical processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Representations of continuous-time ARMA processes
• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Semi-parametric modelling in finance: theoretical foundations
• Some stationary processes in discrete and continuous time
• Statistical inference for ergodic diffusion processes.
• Student processes
• Testing for jumps in a discretely observed process
• Time-reversible diffusions
• 𝜉-radial processes and random Fourier series

This page was built for publication: Multivariate elliptic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6573276)