On some dependence structures for multidimensional Lévy driven moving averages

DOI10.1016/J.JKSS.2012.01.004zbMath1296.62116OpenAlexW2039540811MaRDI QIDQ457632

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

infinitely divisible distributionLévy processmoving averageOrnstein-UhlenbeckLévy copula

Mathematics Subject Classification ID

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

Cites Work

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• Lévy driven moving averages and semimartingales
• Spectral representations of infinitely divisible processes
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Fractional Lévy processes with an application to long memory moving average processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Financial Modelling with Jump Processes
• Lévy Copulas: Dynamics and Transforms of Upsilon Type

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