Vine constructions of Lévy copulas
From MaRDI portal
Publication:391652
DOI10.1016/j.jmva.2013.04.002zbMath1283.60075arXiv1207.4309MaRDI QIDQ391652
Stephan Nicklas, Oliver Grothe
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.4309
Related Items
Testing the simplifying assumption in high-dimensional vine copulas, Series representations for multivariate time-changed Lévy models, Numerical aspects of shot noise representation of infinitely divisible laws and related processes, Compound vectors of subordinators and their associated positive Lévy copulas, Construction and sampling of Archimedean and nested Archimedean Lévy copulas, Lévy Copulas: Review of Recent Results
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