Dependence Calibration and Portfolio Fit with FactorBased Time Changes
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KeywordsLévy processes; multivariate subordinators; dependence; correlation; multi- variate asset modelling; multivariate time-changed processes; factor-based time changes.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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