Multivariate Elliptical Processes

Bingham, Bingham; Fry, John; Kiesel, Rudiger

Abstract

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.

Citation

Bingham, B., Fry, J., & Kiesel, R. (2010). Multivariate Elliptical Processes. Statistica Neerlandica, 64(3), 352-366. https://doi.org/10.1111/j.1467-9574.2010.00465.x

• Journal Article Type: Article
• Online Publication Date: Jul 16, 2010
• Publication Date: 2010-08
• Deposit Date: Feb 4, 2022
• Journal: Statistica Neerlandica
• Print ISSN: 0039-0402
• Publisher: John Wiley and Sons
• Peer Reviewed: Peer Reviewed
• Volume: 64
• Issue: 3
• Pages: 352-366
• DOI: https://doi.org/10.1111/j.1467-9574.2010.00465.x
• Keywords: Multivariate elliptic processes; Risk drivers; Sums-of-diffusions; Lévy processes
• Public URL: https://hull-repository.worktribe.com/output/3920923