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Titel:

Characterization of Dependence of Multidimensional Lévy Processes Using Lévy Copulas

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kallsen, J.; Tankov, P.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
This paper suggests Lévy copulas in order to characterize the dependence among components of multidimensional Lévy processes. This concept parallels the notion of a copula on the level of Lévy measures. As for random vectors, a version of Sklar?s theorem states that the law of a general multidimensional Lévy process is obtained by combining arbitrary univariate Lévy processes with an arbitrary Lévy copula. We construct parametric families of Lévy copulas and prove a limit theorem, which indicate...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Multivariate Analysis
Jahr:
2006
Band / Volume:
97
Heft / Issue:
7
Seitenangaben Beitrag:
1551-1572
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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