Jump tail dependence in Lévy copula models

DOI10.1007/S10687-012-0162-1zbMath1280.62102OpenAlexW2086770247MaRDI QIDQ385630

Oliver Grothe

Publication date: 2 December 2013

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-012-0162-1

zbMATH Keywords

strong consistencynonparametric estimationportfoliosdependence of jumpshigh frequency financial datamultivariate Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ Vine constructions of Lévy copulas ⋮ Lévy Copulas: Review of Recent Results ⋮ Compound vectors of subordinators and their associated positive Lévy copulas ⋮ Lévy copulae for financial returns ⋮ Clustering of financial instruments using jump tail dependence coefficient ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas

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