Correlating Lévy processes with self-decomposability: applications to energy markets

  title={Correlating L{\'e}vy processes with self-decomposability: applications to energy markets},
  author={Matteo Gardini and Piergiacomo Sabino and Emanuela Sasso},
  journal={Decisions in Economics and Finance},
Based on the concept of self-decomposability, we extend some recent multidimensional Lévy models built using multivariate subordination. Our aim is to construct multivariate Lévy processes that can model the propagation of the systematic risk in dependent markets with some stochastic delay instead of affecting all the markets at the same time. To this end, we extend some known approaches keeping their mathematical tractability, study the properties of the new processes, derive closed-form… Expand

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