A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE
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Publication:2909513
DOI10.1142/S0219024912500288zbMath1246.91135OpenAlexW3123146883MaRDI QIDQ2909513
Publication date: 30 August 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500288
correlationLévy processesdependencevariance gammamultivariate subordinatorsmultivariate asset pricingmulti-factorial modeling
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