On some dependence structures for multidimensional Lévy driven moving averages

DOI10.1016/J.JKSS.2012.01.004zbMATH Open1296.62116OpenAlexW2039540811MaRDI QIDQ457632FDOQ457632

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

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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)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Spectral representations of infinitely divisible processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Lévy driven moving averages and semimartingales
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Fractional Lévy processes with an application to long memory moving average processes
• Lévy Copulas: Dynamics and Transforms of Upsilon Type

Cited In (2)

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

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