Vine constructions of Lévy copulas

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

zbMATH Keywords

Lévy copula; multivariate Lévy processes; pair Lévy copula construction; Vine copula

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62H99: Multivariate analysis

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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