Lévy-copula-driven Financial Processes
نویسندگان
چکیده
Abstract. This paper proposes a general non-Gaussian Ornstein-Uhlenbeck model for a joint financial process based on marginal Lévy measures joined by a Lévy copula. Simulated processes then result from choices of marginal measures and Lévy copulas, with resulting statistics and inferences. Selected for analysis are the 3/2-stable and Gamma marginal Lévy measures, along with Clayton, Gumbel, and Complementary Gumbel Lévy versions of ordinary [probability] copulas, with the last two being here introduced. A relationship between the original coupled subordinated processes and the terminal dependency relationship between the simulated variables is observed and calibrated. Normal inverse Gaussian and tempered stable measures are also noted, as are additional Lévy copulas constructed from the Gumbel and Frank ordinary copulas, with some analysis and suggestion for using them in future research.
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