Lévy copulae for financial returns

DOI10.1515/DEMO-2016-0017zbMATH Open1376.60062OpenAlexW2560395642MaRDI QIDQ727660FDOQ727660

Authors: Ostap Okhrin 

Publication date: 20 December 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2016-0017

Recommendations

• Lévy copulas: review of recent results
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zbMATH Keywords

VaRbacktestingcryptocurrencyLévy copula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Distribution theory (60E99)

Cites Work

• Dependence modeling with copulas
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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• Dependence structures for multivariate high-frequency data in finance
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• Quantitative risk management. Concepts, techniques and tools
• Lévy Processes and Stochastic Calculus
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• Infinitely divisible central probability measures on compact Lie groups-regularity, semigroups and transition kernels
• Handbook of Insurance
• Realized kernels in practise : trades and quotes
• Activity signature functions for high-frequency data analysis
• Basket option pricing and implied correlation in a one-factor Lévy model
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Parametric estimation of a bivariate stable Lévy process
• Jump tail dependence in Lévy copula models
• Modeling high-frequency financial data by pure jump processes
• A note on estimation for gamma and stable processes
• The multivariate variance gamma model: basket option pricing and calibration
• A copula-based model of speculative price dynamics in discrete time
• A multivariate jump-driven financial asset model
• Managing risk with a realized copula parameter

Cited In (2)

• Lévy-frailty copulas
• Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns

Uses Software

• QRM
• rmgarch

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