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Subordination and self-decomposability

Citations

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Cited by:

  1. Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
  2. Arun Kumar & Palaniappan Vellaisamy, 2012. "Fractional Normal Inverse Gaussian Process," Methodology and Computing in Applied Probability, Springer, vol. 14(2), pages 263-283, June.
  3. Buchmann, Boris & Kaehler, Benjamin & Maller, Ross & Szimayer, Alexander, 2017. "Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 127(7), pages 2208-2242.
  4. Pérez-Abreu, Victor & Stelzer, Robert, 2014. "Infinitely divisible multivariate and matrix Gamma distributions," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 155-175.
  5. Lynn Boen & Florence Guillaume, 2020. "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, vol. 23(1), pages 1-39, April.
  6. Roberto Marfè, 2012. "A generalized variance gamma process for financial applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 75-87, June.
  7. Kozubowski, Tomasz J., 2005. "A note on self-decomposability of stable process subordinated to self-decomposable subordinator," Statistics & Probability Letters, Elsevier, vol. 74(1), pages 89-91, August.
  8. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.
  9. Elisa Luciano & Patrizia Semeraro, 2007. "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks 42, Collegio Carlo Alberto.
  10. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2019. "Calibration for Weak Variance-Alpha-Gamma Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1151-1164, December.
  11. Suk Choi, Gyeong, 2008. "Some results on subordination, selfdecomposability and operator semi-stability," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 780-784, April.
  12. Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
  13. Vladimir Panov, 2017. "Series Representations for Multivariate Time-Changed Lévy Models," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 97-119, March.
  14. A. Kumar & J. Gajda & A. Wyłomańska & R. Połoczański, 2019. "Fractional Brownian Motion Delayed by Tempered and Inverse Tempered Stable Subordinators," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 185-202, March.
  15. Yu, Yaming, 2017. "On normal variance–mean mixtures," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 45-50.
  16. Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer, 2015. "Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing," Papers 1502.03901, arXiv.org, revised Oct 2016.
  17. Di Nardo, E. & Marena, M. & Semeraro, P., 2020. "On non-linear dependence of multivariate subordinated Lévy processes," Statistics & Probability Letters, Elsevier, vol. 166(C).
  18. Grothe, Oliver & Nicklas, Stephan, 2013. "Vine constructions of Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 1-15.
  19. Colino, Jesús P., 2008. "New stochastic processes to model interest rates : LIBOR additive processes," DES - Working Papers. Statistics and Econometrics. WS ws085316, Universidad Carlos III de Madrid. Departamento de Estadística.
  20. Akita, Koji & Maejima, Makoto, 2002. "On certain self-decomposable self-similar processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 59(1), pages 53-59, August.
  21. Kozubowski, Tomasz J., 2005. "A note on self-decomposability of stable process subordinated to self-decomposable subordinator," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 343-345, July.
  22. Buchmann, Boris & Lu, Kevin W. & Madan, Dilip B., 2020. "Self-decomposability of weak variance generalised gamma convolutions," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 630-655.
  23. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
  24. Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.
  25. Elisa Luciano & Patrizia Semeraro, 2007. "Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion," ICER Working Papers - Applied Mathematics Series 42-2007, ICER - International Centre for Economic Research.
  26. Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso, 2021. "Correlating Lévy processes with self-decomposability: applications to energy markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1253-1280, December.
  27. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
  28. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018. "Calibration for Weak Variance-Alpha-Gamma Processes," Papers 1801.08852, arXiv.org, revised Jul 2018.
  29. Beghin, Luisa & Macci, Claudio & Ricciuti, Costantino, 2020. "Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6364-6387.
  30. Jevtić, Petar & Marena, Marina & Semeraro, Patrizia, 2017. "A note on Marked Point Processes and multivariate subordination," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 162-167.
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