Related papers: Superposition of COGARCH processes
The goal of this paper is to investigate how the marginal and dependence structures of a variety of multivariate L\'evy models affect calibration and pricing. To this aim, we study the approaches of Luciano and Semeraro (2010) and Ballotta…
In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson…
We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…
L\'evy copulas are an important tool which can be used to build dependent L\'evy processes. In a classical setting, they have been used to model financial applications. In a Bayesian framework they have been employed to introduce dependent…
In this paper, we derive some asymptotic theory for the extremogram and cross-extremogram of a bivariate GARCH(1,1) process. We show that the tails of the components of a bivariate GARCH(1,1) process may exhibit power law behavior but,…
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…
It is essential to incorporate the impact of investor behavior when modeling the dynamics of asset returns. In this paper, we reconcile behavioral finance and rational finance by incorporating investor behavior within the framework of…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed with stocks with minimal tail dependence…
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing…
We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the…
We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…
Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
We construct fractionally integrated continuous-time GARCH models, which capture the observed long range dependence of squared volatility in high-frequency data. Since the usual Molchan-Golosov and Mandelbrot-van-Ness fractional kernels…
We study the nonparametric calibration of exponential L\'{e}vy models with infinite jump activity. In particular our analysis applies to self-decomposable processes whose jump density can be characterized by the $k$-function, which is…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…