Vine constructions of Lévy copulas
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Publication:391652
DOI10.1016/J.JMVA.2013.04.002zbMATH Open1283.60075arXiv1207.4309OpenAlexW1993385235MaRDI QIDQ391652FDOQ391652
Authors: Oliver Grothe, Stephan Nicklas 
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dimensions. To overcome this problem, the concept of pair copula constructions has been successfully applied to distributional copulas. In this paper, we develop the pair construction for Levy copulas (PLCC). Similar to pair constructions of distributional copulas, the pair construction of a d-dimensional Levy copula consists of d(d-1)/2 bivariate dependence functions. We show that only d-1 of these bivariate functions are Levy copulas, whereas the remaining functions are distributional copulas. Since there are no restrictions concerning the choice of the copulas, the proposed pair construction adds the desired flexibility to Levy copula models. We discuss estimation and simulation in detail and apply the pair construction in a simulation study.
Full work available at URL: https://arxiv.org/abs/1207.4309
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Cited In (11)
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Series representations for multivariate time-changed Lévy models
- Compound vectors of subordinators and their associated positive Lévy copulas
- Lévy copulas: review of recent results
- A general frailty model to accommodate individual heterogeneity in the acquisition of multiple infections: an application to bivariate current status data
- Lévy copulae for financial returns
- Dependence properties and comparison results for Lévy processes
- Testing the simplifying assumption in high-dimensional vine copulas
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
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