In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. Law of...

In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove Law of Large Numbers and Functional Central Limit Theorems (FCLT) for both processes. The two FCLTs are applied to...

In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the predictions evolve when changing the strength of the different possible dependencies, as well as the structure of the dependence. We also look...

In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. The law...

In this article we find the optimal solution of the hedging problem in discrete time by minimizing the mean square hedging error, when the underlying assets are multidimensional, extending the results of Schweizer (1995). We also find explicit expressions for the optimal hedging problem in...

The asymptotic behaviour of the empirical copula constructed from residuals of stochastic volatility models is studied. It is shown that if the stochastic volatility matrix is diagonal, then the empirical copula process behaves like if the parameters were known, a remarkable property. However,...

In this paper, we extend copula-based univariate time series models studied in Chen & Fan (2006) to multivariate time series. Doing so, we tackle at the same time serial dependence as well as interdependence between several time series. The proposed methodology is totally different from the...

We propose an innovative approach for dynamic portfolio insurance that overcomes many of the limitations of the earlier techniques. We transform the Payoff Distribution Model, originally introduced by Dybvig (1988) as a performance measure, to a fund management tool. This approach allows us to...

The derivation of the bi-variate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al....