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- W2030299719 abstract "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 multivariate Lévy process is obtained by combining arbitrary univariate Lévy processes with an arbitrary Lévy copula. We construct parametric families of Lévy copulas and prove a limit theorem, which indicates how to obtain the Lévy copula of a multivariate Lévy process X from the ordinary copula of the random vector Xt for small t." @default.
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- W2030299719 date "2006-08-01" @default.
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- W2030299719 title "Characterization of dependence of multidimensional Lévy processes using Lévy copulas" @default.
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- W2030299719 doi "https://doi.org/10.1016/j.jmva.2005.11.001" @default.
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