On some dependence structures for multidimensional Lévy driven moving averages

DOI10.1016/J.JKSS.2012.01.004MaRDI QIDQ457632zbMATH OpenOpenAlexFDO

Authors Shibin Zhang

Publication date 29 September 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2012.01.004

zbMATH Keywords

Ornstein-Uhlenbeckmoving averageinfinitely divisible distributionLévy copulaLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 2063861 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Financial Modelling with Jump Processes
• Fractional Lévy processes with an application to long memory moving average processes
• Lévy Copulas: Dynamics and Transforms of Upsilon Type
• Lévy driven moving averages and semimartingales
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Spectral representations of infinitely divisible processes

Cited in

(2)

• On the conditional small ball property of multivariate Lévy-driven moving average processes
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas

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