scientific article; zbMATH DE number 6811494

zbMATH Open1381.62081MaRDI QIDQ4593693FDOQ4593693

Authors Elisa Luciano, Patrizia Semeraro

Publication date 22 November 2017

zbMATH Keywords

copulasnonlinear dependenceLévy processmultivariate variance Gamma

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Gaussian copula under multiscale volatility
• Three non-Gaussian models of dependence in returns

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