Jump tail dependence in Lévy copula models (Q385630)
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scientific article; zbMATH DE number 6235236
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Jump tail dependence in Lévy copula models |
scientific article; zbMATH DE number 6235236 |
Statements
Jump tail dependence in Lévy copula models (English)
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2 December 2013
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multivariate Lévy processes
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dependence of jumps
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nonparametric estimation
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strong consistency
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high frequency financial data
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portfolios
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0.8921051
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0.8793875
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0.8779315
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0.87623787
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0.8735096
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0.87257093
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