Lévy copulae for financial returns

DOI10.1515/demo-2016-0017zbMath1376.60062OpenAlexW2560395642MaRDI QIDQ727660

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

zbMATH Keywords

Lévy copulaVaRbacktestingcryptocurrency

Mathematics Subject Classification ID

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

Uses Software

• QRM
• rmgarch

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Jump tail dependence in Lévy copula models
• Modeling high-frequency financial data by pure jump processes
• A copula-based model of speculative price dynamics in discrete time
• Infinitely divisible central probability measures on compact Lie groups-regularity, semigroups and transition kernels
• Parametric estimation of a bivariate stable Lévy process
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Managing risk with a realized copula parameter
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Activity signature functions for high-frequency data analysis
• Handbook of Insurance
• Dependence Modeling with Copulas
• A multivariate jump-driven financial asset model
• Lévy Processes and Stochastic Calculus
• Realized kernels in practice: trades and quotes
• A note on estimation for gamma and stable processes
• Dependence structures for multivariate high-frequency data in finance
• Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
• Financial Modelling with Jump Processes
• The multivariate Variance Gamma model: basket option pricing and calibration

This page was built for publication: Lévy copulae for financial returns