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

Preview

Text - Published Version Download (1MB) | Preview

Export

Downloads