Characterization of dependence of multidimensional Lévy processes using Lévy copulas

Journal of Multivariate Analysis

Volumn 97, Issue 7, 2006, Pages 1551-1572

  Kallsen, Jan ^a   Tankov, Peter ^b,c  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b INRIA ROCQUENCOURT   (France)

^c UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Copula; L vy process; Limit theorems

Indexed keywords

EID: 33646774356     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2005.11.001     Document Type: Article

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