A multivariate pure-jump model with multi-factorial dependence structure
Roberto Marfè
| Year of publication: |
2012
|
|---|---|
| Authors: | Marfè, Roberto |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 4, p. 1-30
|
| Subject: | Lévy processes | multivariate subordinators | dependence | correlation | multivariate asset pricing | multi-factorial modeling | variance gamma | Multivariate Analyse | Multivariate analysis | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | CAPM | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009624464