Characterization of dependence of multidimensional Lévy processes using Lévy copulas

By Jan Kallsen, Peter Tankov. 2006

222 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/af9568457ce90b922a4e2dc1027d3d70d5176ff0

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In Management Science and Operations Research

Citations in the corpus

Quantitative models for operational risk: Extremes, dependence and aggregation (2006, methodology): “For stochastic processes, the notion of Lévy copulas offers an interesting alternative if the process is Lévy; see for instance Cont and Tankov (2004), Kallsen and Tankov (2005) and Barndorff-Nielsen and Lindner (2004).”
Fluctuations of Lévy Processes with Applications (2014, background): “The foundational ideas are to be found in Tankov (2003) and Kallsen and Tankov (2004).”
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF‐NIELSEN AND SHEPHARD IN COMMODITY MARKETS (2010, background): “It is difficult to assume any dependence structure between a Brownian motion and Lévy processes (see Kallsen and Tankov 2006, for a discussion on this and Lévy copulas).”
Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, methodology): “Lévy copulas for general Lévy processes, introduced in a joint work of the present author with Jan Kallsen [59], are discussed in Sections 4.”
Multivariate supOU processes (2010, methodology): “An easy way to get an appropriate ν and allowing for dependence is to combine ν1 and ν2 using a Lévy copula (see [4, 28]).”
Bivariate Gamma wear processes for track geometry modelling, with application to intervention scheduling (2012, methodology): “For this purpose, different processes might be used, such as Bessel (Newby and Baker 2006) or Lévy processes (Kallsen and Tankov 2006).”
Multivariate models for operational risk (2010, methodology): “Such an approach has been suggested and investigated by Cont and Tankov (2004), Kallsen and Tankov (2006) and Barndorff-Nielsen and Lindner (2007), and essentially models dependence between the jumps of different Lévy processes by means of so-called Lévy copulas.”
The Pareto Copula, Aggregation of Risks and the Emperor's Socks (2008, background): “Despite the shortcomings pointed out by the skeptic Mikosch (2005), (2006), this practice has become a fairly standard procedure.”
Copula Theory: An Introduction (2010, background): “In this respect, the recent concept of Lévycopula (see [7, 10, 106, 99]) seems quite powerful and promising for modelling the large class of Lévy processes.”
On Correlating Lévy Processes (2010, methodology): “From the perspective of combining prespeci ed Lévy processes into a joint Lévy process we refer to the Lévy copula approach, Cont and Tankov (2004), Kallsen and Tankov (2006).”
Copulas in Econometrics (2014, background): “Finally, Kallsen & Tankov (2006) present a version of Sklar's theorem that allows for the construction of a general multivariate Lévy process from arbitrary univariate Lévy processes and an arbitrary Lévy copula.”