Data di Pubblicazione:
2013
Abstract:
The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to re ect the properties of trade, which it represents. The resulting process may provide Variance-Gamma, Normal-Inverse- Gaussian or Generalized-Hyperbolic margins. A non-pairwise calibration to a portfolio of ten US daily stock returns over the period 2009-2013 shows that fit of the Hyperbolic specification is very good, in terms of marginal distributions and overall correlation matrix. It succeeds in explaining the return distribution of both long-only and long- short random portfolios better than competing models do. Their tail behavior is very well captured also by the Variance-Gamma specification.
Tipologia CRIS:
02A-Contributo in volume
Keywords:
Lévy processes; multivariate subordinators; dependence; correlation; multi- variate asset modelling; multivariate time-changed processes; factor-based time changes
Elenco autori:
E. Luciano; M. Marena; P. Semeraro
Link alla scheda completa:
Titolo del libro:
Carlo Alberto Notebooks
Pubblicato in: