Christian Palmes

collaborators

2 papers

math.ST2014

Low Frequency Lévy Copula Estimation

Christian Palmes

Let $X$ be a $d$ -dimensional Lévy process with Lévy triplet $(Σ, ν, α)$ and $d \geq 2$ . Given the low frequency observations $(X_{t})_{t = 1, \dots, n}$ , the dependence structure of the ju…

math.ST2014

Copula Relations in Compound Poisson Processes

Christian Palmes

We investigate in multidimensional compound Poisson processes (CPP) the relation between the dependence structure of the jump distribution and the dependence structure of the respe…