On non-linear dependence of multivariate subordinated L\'evy processes
Statistics Theory
2020-04-09 v1 Combinatorics
Statistics Theory
Abstract
Multivariate subordinated L\'evy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets through multivariate cumulants of these processes, for which we provide a closed form formula by using the multi-index generalized Bell polynomials. Using multivariate cumulants, we perform a sensitivity analysis, to investigate non-linear dependence as a function of the model parameters driving the dependence structure
Keywords
Cite
@article{arxiv.2004.03933,
title = {On non-linear dependence of multivariate subordinated L\'evy processes},
author = {Elvira Di Nardo and Marina Marena and Patrizia Semeraro},
journal= {arXiv preprint arXiv:2004.03933},
year = {2020}
}