Multivariate elliptic processes
Article first published online: 16 JUL 2010
© 2010 The Authors. Journal compilation © 2010 VVS
Special Issue: Statistical Inference for Lévy Processes with Applications to Finance
Volume 64, Issue 3, pages 352–366, August 2010
How to Cite
Bingham, N.H., Fry, J. M. and Kiesel, R. (2010), Multivariate elliptic processes. Statistica Neerlandica, 64: 352–366. doi: 10.1111/j.1467-9574.2010.00465.x
We assume that the sampling interval is Δ=1.
- Issue published online: 16 JUL 2010
- Article first published online: 16 JUL 2010
- Received: November 2009. Revised: May 2010.
- multivariate elliptic processes;
- risk drivers;
- Lévy processes
We introduce and study multivariate elliptic processes, thus providing a dynamic counterpart to the (static) multivariate elliptic distributions. We pay special attention to the dynamics for Lévy processes and diffusions. We also discuss discrete versus continuous time modelling, jump processes versus diffusions, and semimartingales. Some data analysis illustrates the theory.