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In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process. Our main contribution here is to introduce a multivariate subordinator with gamma margins. We investigate the process, determine its Lévy triplet and analyze its dependence structure. At the end we propose an exponential Lévy price model.

Purpose The purpose of this paper is to assess the impact of the Energy Performance Certificate (EPC) on the Italian real estate market, focusing on old buildings. The contribution of EPC labels to house prices and to market liquidity was measured to analyze different aspects of the selling process. Design/methodology/approach A traditional hedonic model was used to explain the variables of listing price, transaction price, time on the market and bargaining outcome. In addition to EPC labels, the building construction period and the main features of apartments were included in the model. A sample of 879 transactions of old properties in Turin in 2011-2014 was considered. Findings A first hedonic model let us suppose that low EPC labels (E, F and G) were priced in the market although EPC labels explained only 6-8 per cent of price variation. A second full hedonic model, which included apartment characteristics, revealed that EPC labels had no impact on prices. Originality/value In Italy EPC has been mandatory for house transactions since 2009, so there are few studies on the effect of EPC on the Italian real estate market at least to our knowledge. Furthermore, unusually for the Italian context, in this paper also transaction prices were analyzed, in addition to the more frequently used listing prices.

The paper explores the properties of a class of multivariate Lévy processes, used for asset returns, with a focus on describing in an economic sensible and empirically appropriate way both linear and nonlinear dependence. The processes are subordinated Brownian motions. The subordinator has a common and an idiosyncratic component, to reflect the properties of trade, which it represents. A calibration to a portfolio of ten US stock indices returns over the period 2009-2013 shows that the hyperbolic specification fits very well marginal distributions, the overall correlation matrix and the return distribution of both long-only and long-short random portfolios, which incorporate also nonlinear dependence. Their tail behavior is well captured also by the variance gamma specification. The main message is not only the goodness of fit, but also the flexibility in capturing dependence and the easiness of calibration on large sets of returns.

Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from calendar time. Time-changed Brownian motions can be generated by infinite divisible normal mixtures. The standard multivariate normal mean variance mixtures assume a common mixing variable. This corresponds to a multidimensional return process with a unique change of time for all assets under exam. The economic counterpart is uniqueness of trade or business time, which is not in line with empirical evidence.In this paper we propose a new multivariate definition of normal mean-variance mixtures with a flexible dependence structure, based on the economic intuition of both a common and an idiosyncratic component of business time. We analyze both the distribution and the related process.We use the above construction to introduce a multivariate generalized hyperbolic process with generalized hyperbolic margins. We conclude with a stock market example to show the ease of calibration of the model.

We provide sharp analytical upper and lower bounds for value‐at‐risk (VaR) and sharp bounds for expected shortfall (ES) of portfolios of any dimension subject to default risk. To do so, the main methodological contribution of the paper consists in analytically finding the convex hull generators for the class of exchangeable Bernoulli variables with given mean and for the class of exchangeable Bernoulli variables with given mean and correlation in any dimension. Using these analytical results, we first describe all possible dependence structures for default, in the class of finite sequences of exchangeable Bernoulli random variables. We then measure how model risk affects VaR and ES.

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If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. AbstractPurpose -The main purpose of this paper is to explore the listing behaviours of agents and sellers. In particular, the paper analyzes listing prices and the predicting power of the house features described in advertisements, to improve their use in real estate valuations. In Italy, selling prices are not public information and therefore listing prices play a key role for market analyses and are used by real estate companies and appraisers for estimating house values. Design/methodology/approach -A traditional hedonic model was used to measure the overall contribution to listing price of the characteristics described in advertisements. The analysis was performed both on houses put on the market by agents and on houses put on the market by sellers. Listing price distributions and their deviation from normality were analyzed. Furthermore, a hedonic analysis was performed, which consisted of two steps. First, the coefficient of determination for any characteristic was computed. Second, the overall contribution to the listing price of the characteristics described in advertisements was measured. Findings -The analysis shows the presence of factors which affect listing prices and which are not revealed to buyers in real estate advertisements. On the other hand, the presence of characteristics that do not affect the listing price but are described in advertisements was also found. Furthermore, agents and sellers showed different behaviours. While the marginal contributions of each characteristic estimated on a sample of houses put on the market by agents were significant, the analysis reveals that listing prices of houses put on the market by sellers are not explained by the house features. Originality/value -To the best of the authors' knowledge, this is the first study to propose a hedonic approach to exploring the major determinants of listing prices of houses on sale on the Italian market. The listing behaviour of agents and sellers and the predicting power of the observable characteristics could address the use of listing prices in real estate valuations. At the same time, the potential presence of unobservable factors that affect the listing price could be a source of bias in es...