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Multivariate Variance Gamma and Gaussian dependence: a study with copulas

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  • Elisa Luciano
  • Patrizia Semeraro

Abstract

This paper explores the dynamic dependence properties of a Levy process, the Variance Gamma, which has non Gaussian marginal features and non Gaussian dependence. In a static context, such a non Gaussian dependence should be represented via copulas. Copulas, however, are not able to capture the dynamics of dependence. By computing the distance between the Gaussian copula and the actual one, we show that even a non Gaussian process, such as the Variance Gamma, can "converge" to linear dependence over time. Empirical versions of different dependence measures confirm the result.

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File URL: http://www.carloalberto.org/assets/working-papers/no.96.pdf
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Bibliographic Info

Paper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 96.

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Length: 11 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:cca:wpaper:96

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