On non-linear dependence of multivariate subordinated L\'evy processes

Elvira Di Nardo; Marina Marena; Patrizia Semeraro

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arXiv · 2004.03933

On non-linear dependence of multivariate subordinated L\'evy processes

Elvira Di Nardo·Marina Marena·Patrizia Semeraro

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Abstract

Multivariate subordinated L\'evy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets through multivariate cumulants of these processes, for which we provide a closed form formula by using the multi-index generalized Bell polynomials. Using multivariate cumulants, we perform a sensitivity analysis, to investigate non-linear dependence as a function of the model parameters driving the dependence structure

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Elvira Di Nardo, Marina Marena, Patrizia Semeraro. 2020-04-08. On non-linear dependence of multivariate subordinated L\'evy processes. https://arxiv.org/abs/2004.03933

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