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In response to empirical evidence, we propose a continuous-time model for multivariate asset returns with a two-layered dependence structure. The price process is subject to multivariate information arrivals driving the market activity modeled by non-decreasing pure-jump Lévy processes. A Lévy...
Persistent link: https://www.econbiz.de/10012900892
We develop a multivariate return and trading volume model, where each stock's system is driven by latent information arrivals in continuous time. The arrivals contain idiosyncratic and cross-relevant information, which provides both return and trading volume dependence. Conditional on the...
Persistent link: https://www.econbiz.de/10012890130
We present an approach for modeling dependencies in exponential Lévy market models with arbitrary margins originated from time changed Brownian motions. Using weak subordination of Buchmann et al. (2016), we face a new layer of dependencies, superior to traditional approaches based on pathwise...
Persistent link: https://www.econbiz.de/10012942365
Persistent link: https://www.econbiz.de/10012262863