Multivariate elliptic processes

N.H. Bingham, John M. Fry and Rüdiger Kiesel

Statistica Neerlandica, 2010, vol. 64, issue 3, 352-366

Abstract: We introduce and study multivariate elliptic processes, thus providing a dynamic counterpart to the (static) multivariate elliptic distributions. We pay special attention to the dynamics for Lévy processes and diffusions. We also discuss discrete versus continuous time modelling, jump processes versus diffusions, and semimartingales. Some data analysis illustrates the theory.

Date: 2010
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https://doi.org/10.1111/j.1467-9574.2010.00465.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:64:y:2010:i:3:p:352-366

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