Markus Michaelsen

Universität Hamburg

Von-Melle-Park 5

Hamburg, 20146

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

168

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Information Flow Dependence in Financial Markets

Number of pages: 31 Posted: 12 Oct 2017 Last Revised: 21 Aug 2019
Markus Michaelsen
Universität Hamburg
Downloads 89 (336,889)
Citation 1

Abstract:

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Lévy processes, Lévy copulas, dependence modeling, weak multivariate subordination, variance gamma, simulated likelihood

2.

Information Flow Dependence in Return and Trading Volume Across Different Stocks

Number of pages: 24 Posted: 10 Apr 2019
Markus Michaelsen
Universität Hamburg
Downloads 41 (493,575)

Abstract:

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information flow, trading volume, dependence modeling, risk measurement, Lévy copulas, weak multivariate subordination

3.

Marginal Consistent Dependence Modeling Using Weak Subordination for Brownian Motions

Number of pages: 26 Posted: 02 Dec 2017
Markus Michaelsen and Alexander Szimayer
Universität Hamburg and University of Hamburg - Faculty of Economics and Business Administration
Downloads 38 (507,251)
Citation 2

Abstract:

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Lévy processes, Dependence modeling, Weak multivariate subordination, Maximum likelihood estimation, Variance gamma, Normal inverse Gaussian