City Research Online

Multivariate Lévy Models by Linear Combination: Estimation

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

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.

Publication Type: Monograph (Working Paper)
Publisher Keywords: Multivariate Lévy models, estimation, maximum likelihood, EM algorithm, simulation, intra-horizon Value at Risk
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
[img]
Preview
Text - Published Version
Download (1MB) | Preview

Export

Downloads

Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login