论文标题
用于财务应用的多元非高斯模型
Multivariate non-Gaussian models for financial applications
论文作者
论文摘要
在本文中，我们考虑了最近几年中文献中使用的几种适用于金融并提出的连续多元非高斯模型。我们研究了重点介绍参数数量，依赖性结构的特性以及计算障碍性的模型。对于每个模型，我们分析主要特征，我们提供特征函数，边缘矩达到四个，协方差和相关性。因此，我们描述了如何在对数归还的时间序列上进行校准，并观察到实用应用和可能的数值问题。为了从经验上比较这些模型，我们对一系列五维库存指数记录记录进行分析。
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the properties of the dependence structure, and the computational tractability. For each model we analyze the main features, we provide the characteristic function, the marginal moments up to order four, the covariances and the correlations. Thus, we describe how to calibrate them on the time-series of log-returns with a view toward practical applications and possible numerical issues. To empirically compare these models, we conduct an analysis on a five-dimensional series of stock index log-returns.
