Matches in SemOpenAlex for { <https://semopenalex.org/work/W1972184813> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W1972184813 endingPage "1398" @default.
- W1972184813 startingPage "1383" @default.
- W1972184813 abstract "In this work we propose a new and general approach to build dependence in multivariate Lévy processes. We fully characterize a multivariate Lévy process whose margins are able to approximate any Lévy type. Dependence is generated by one or more common sources of jump intensity separately in jumps of any sign and size and a parsimonious method to determine the intensities of these common factors is proposed. Such a new approach allows the calibration of any smooth transition between independence and a large amount of linear dependence and provides greater flexibility in calibrating nonlinear dependence than in other comparable Lévy models in the literature. The model is analytically tractable and a straightforward multivariate simulation procedure is available. An empirical analysis shows an accurate multivariate fit of stock returns in terms of linear and nonlinear dependence. A numerical illustration of multi-asset option pricing emphasizes the importance of the proposed new approach for modeling dependence." @default.
- W1972184813 created "2016-06-24" @default.
- W1972184813 creator A5033216064 @default.
- W1972184813 date "2011-09-21" @default.
- W1972184813 modified "2023-10-18" @default.
- W1972184813 title "Multivariate Lévy processes with dependent jump intensity" @default.
- W1972184813 cites W138112401 @default.
- W1972184813 cites W1886331267 @default.
- W1972184813 cites W1980519218 @default.
- W1972184813 cites W2004486733 @default.
- W1972184813 cites W2006306808 @default.
- W1972184813 cites W2015433547 @default.
- W1972184813 cites W2016166708 @default.
- W1972184813 cites W2022783590 @default.
- W1972184813 cites W2030299719 @default.
- W1972184813 cites W2063669318 @default.
- W1972184813 cites W2070965097 @default.
- W1972184813 cites W2088248745 @default.
- W1972184813 cites W2095591161 @default.
- W1972184813 cites W2100011707 @default.
- W1972184813 cites W2100190417 @default.
- W1972184813 cites W2138540172 @default.
- W1972184813 cites W2148688139 @default.
- W1972184813 cites W2149661431 @default.
- W1972184813 cites W2154140771 @default.
- W1972184813 cites W2166831536 @default.
- W1972184813 cites W2169930605 @default.
- W1972184813 cites W2185687637 @default.
- W1972184813 cites W2470894576 @default.
- W1972184813 cites W3122402328 @default.
- W1972184813 cites W3123952256 @default.
- W1972184813 cites W3124378112 @default.
- W1972184813 cites W3124655095 @default.
- W1972184813 cites W4247340585 @default.
- W1972184813 doi "https://doi.org/10.1080/14697688.2011.606822" @default.
- W1972184813 hasPublicationYear "2011" @default.
- W1972184813 type Work @default.
- W1972184813 sameAs 1972184813 @default.
- W1972184813 citedByCount "4" @default.
- W1972184813 countsByYear W19721848132012 @default.
- W1972184813 countsByYear W19721848132014 @default.
- W1972184813 crossrefType "journal-article" @default.
- W1972184813 hasAuthorship W1972184813A5033216064 @default.
- W1972184813 hasConcept C105795698 @default.
- W1972184813 hasConcept C121332964 @default.
- W1972184813 hasConcept C121864883 @default.
- W1972184813 hasConcept C149782125 @default.
- W1972184813 hasConcept C158622935 @default.
- W1972184813 hasConcept C161584116 @default.
- W1972184813 hasConcept C2777606061 @default.
- W1972184813 hasConcept C2780695682 @default.
- W1972184813 hasConcept C28826006 @default.
- W1972184813 hasConcept C33923547 @default.
- W1972184813 hasConcept C35651441 @default.
- W1972184813 hasConcept C62520636 @default.
- W1972184813 hasConcept C88757350 @default.
- W1972184813 hasConceptScore W1972184813C105795698 @default.
- W1972184813 hasConceptScore W1972184813C121332964 @default.
- W1972184813 hasConceptScore W1972184813C121864883 @default.
- W1972184813 hasConceptScore W1972184813C149782125 @default.
- W1972184813 hasConceptScore W1972184813C158622935 @default.
- W1972184813 hasConceptScore W1972184813C161584116 @default.
- W1972184813 hasConceptScore W1972184813C2777606061 @default.
- W1972184813 hasConceptScore W1972184813C2780695682 @default.
- W1972184813 hasConceptScore W1972184813C28826006 @default.
- W1972184813 hasConceptScore W1972184813C33923547 @default.
- W1972184813 hasConceptScore W1972184813C35651441 @default.
- W1972184813 hasConceptScore W1972184813C62520636 @default.
- W1972184813 hasConceptScore W1972184813C88757350 @default.
- W1972184813 hasIssue "8" @default.
- W1972184813 hasLocation W19721848131 @default.
- W1972184813 hasOpenAccess W1972184813 @default.
- W1972184813 hasPrimaryLocation W19721848131 @default.
- W1972184813 hasRelatedWork W124558494 @default.
- W1972184813 hasRelatedWork W2086346266 @default.
- W1972184813 hasRelatedWork W2086770247 @default.
- W1972184813 hasRelatedWork W2790516007 @default.
- W1972184813 hasRelatedWork W2803780496 @default.
- W1972184813 hasRelatedWork W2951162383 @default.
- W1972184813 hasRelatedWork W2970132105 @default.
- W1972184813 hasRelatedWork W3091811471 @default.
- W1972184813 hasRelatedWork W3125398441 @default.
- W1972184813 hasRelatedWork W3203839570 @default.
- W1972184813 hasVolume "14" @default.
- W1972184813 isParatext "false" @default.
- W1972184813 isRetracted "false" @default.
- W1972184813 magId "1972184813" @default.
- W1972184813 workType "article" @default.