On non-linear dependence of multivariate subordinated Lévy processes

E. Di Nardo, Marina Marena and P. Semeraro

Statistics & Probability Letters, 2020, vol. 166, issue C

Abstract: Multivariate subordinated Lévy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets through multivariate cumulants of these processes, for which we provide a closed form formula by using the multi-index generalized Bell polynomials. Using multivariate cumulants, we perform a sensitivity analysis, to investigate non-linear dependence as a function of the model parameters driving the dependence structure.

Keywords: Lévy process; subordination; Cumulant; Normal inverse Gaussian (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108870

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