2019
DOI: 10.1002/asmb.2446
|View full text |Cite
|
Sign up to set email alerts
|

Multivariate asset‐pricing model based on subordinated stable processes

Abstract: In this paper, we consider a multidimensional time‐changed stochastic process in the context of asset‐pricing modeling. The proposed model is constructed from stable processes, and its construction is based on two popular concepts: multivariate subordination and Lévy copulas. From a theoretical point of view, our main result is Theorem 1, which yields a simulation method from the considered class of processes. Our empirical study shows that the model represents the correlation between asset returns quite well.… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2

Citation Types

0
2
0

Year Published

2021
2021
2024
2024

Publication Types

Select...
4

Relationship

1
3

Authors

Journals

citations
Cited by 4 publications
(2 citation statements)
references
References 31 publications
(49 reference statements)
0
2
0
Order By: Relevance
“…In our paper, we introduce a new model for the media attention and the Bitcoin prices. Our approach is based on the class of Lévy process, which is a well‐used tool for the construction of the asset‐pricing models, see the brilliant books by Schoutens, 13 Cont and Tankov, 14 and the recent papers by Panov and Samarin, 15 Gardini et al 16 …”
Section: Introductionmentioning
confidence: 99%
“…In our paper, we introduce a new model for the media attention and the Bitcoin prices. Our approach is based on the class of Lévy process, which is a well‐used tool for the construction of the asset‐pricing models, see the brilliant books by Schoutens, 13 Cont and Tankov, 14 and the recent papers by Panov and Samarin, 15 Gardini et al 16 …”
Section: Introductionmentioning
confidence: 99%
“…Beyond the Gaussian world, some choices have been proposed to model dependence in the context of Lévy processes. Among others, Cont and Tankov (2003), Cherubini et al (2013), Panov and Samarin (2019), Panov and Sirotkin (2017) have discussed the use of Lévy copulas or of Lévy series representations.…”
Section: Introductionmentioning
confidence: 99%