Vine constructions of Lévy copulas

DOI10.1016/J.JMVA.2013.04.002zbMath1283.60075arXiv1207.4309OpenAlexW1993385235MaRDI QIDQ391652

Stephan Nicklas, Oliver Grothe

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.4309

zbMATH Keywords

Lévy copulamultivariate Lévy processespair Lévy copula constructionVine copula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Multivariate analysis (62H99)

Related Items (6)

Lévy Copulas: Review of Recent Results ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Series representations for multivariate time-changed Lévy models ⋮ Testing the simplifying assumption in high-dimensional vine copulas ⋮ Compound vectors of subordinators and their associated positive Lévy copulas ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas

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