Multivariate asset-pricing model based on subordinated stable processes

DOI10.1002/ASMB.2446MaRDI QIDQ6574613FDOQ6574613

Authors: Vladimir Panov, Evgenii Samarin 

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

stable processesmultivariate subordinationstochastic time changeLévy copulamodeling asset-price dynamics

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Series representations for multivariate time-changed Lévy models

Cited In (1)

• Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes

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