Characterization of dependence of multidimensional Lévy processes using Lévy copulas

This paper suggests Lévy copulas in order to characterize the dependence among components of multidimensional Lévy processes. This concept parallels the notion of a copula on the level of Lévy measures. As for random vectors, a version of Sklar's theorem states that the law of a general multiva...

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Veröffentlicht in:	Journal of multivariate analysis 2006-08, Vol.97 (7), p.1551-1572
Hauptverfasser:	Kallsen, Jan, Tankov, Peter
Format:	Artikel
Sprache:	eng
Schlagworte:	Copula Exact sciences and technology Limit theorems Lévy process Lévy process Copula Limit theorems Mathematical analysis Mathematics Multivariate analysis Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Statistics Studies Theory
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