On Correlating Lévy Processes

By Ernst Eberlein, Dilip B Madan 5. 2010

57 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/a4c71d0a1a66e9e0aecfaab31776e36e34fb9fc5

Citations in the corpus

• Multivariate asset models using Lévy processes and applications (2012, unknown): “(see Embrechts et al., 2002, for example). Indeed, ρjl = 0 if and only if either ajal = 0 or Var (Z (1)) = 0, i.e. Z is degenerate and the margins are independent. Moreover, |ρjl | = 1 if and only if Y (t) is degenerate and there is no idiosyncratic factor in the margins. Further, sign ( ρjl ) = sig”