On some dependence structures for multidimensional Lévy driven moving averages
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Publication:457632
DOI10.1016/J.JKSS.2012.01.004zbMath1296.62116OpenAlexW2039540811MaRDI QIDQ457632
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
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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