Modelling of Multivariate Subordinated Processes

Student: Samarin Evgeniy

Educational Programme: Statistical Modelling and Actuarial Science (Master)

Final Grade: 9

Year of Graduation: 2018

This paper presents a multidimensional model for describing stock returns. The model is based on a subordinated sustainable distribution. The theoretical part of the work is based on the concept of multidimensional subordination, Levy copula and spectral measure. Empirical research confirms the correctness of the model.

Full text (added November 5, 2018)

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