Multivariate Lévy Models by Linear Combination: Estimation

Ballotta, L., Loregian, A. & Fusai, G. (2015). Multivariate Lévy Models by Linear Combination: Estimation. London: SSRN.

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Abstract

In this paper we propose a simple and effective two-step procedure to estimate the multivariate Lévy model introduced by Ballotta and Bonfiglioli (2012). We assess our estimation approach via simulations, comparing the results with those obtained through a standard but more computationally intensive one-step maximum likelihood estimation. The proposed method is then applied to the computation of the intra-horizon Value at Risk for a portfolio of assets following the model under consideration.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Multivariate Lévy models, estimation, maximum likelihood, EM algorithm, simulation, intra-horizon Value at Risk
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/16271

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