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Two-Step Estimation Of A Multi-Variate Lévy Process

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  • Habib Esmaeili
  • Claudia Klüppelberg

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  • Habib Esmaeili & Claudia Klüppelberg, 2013. "Two-Step Estimation Of A Multi-Variate Lévy Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 668-690, November.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:6:p:668-690
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    File URL: http://hdl.handle.net/10.1111/jtsa.12042
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    References listed on IDEAS

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    1. Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
    2. Esmaeili, Habib & Klüppelberg, Claudia, 2010. "Parameter estimation of a bivariate compound Poisson process," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 224-233, October.
    3. Esmaeili, Habib & Klüppelberg, Claudia, 2011. "Parametric estimation of a bivariate stable Lévy process," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 918-930, May.
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    Cited by:

    1. Beghin, Luisa & Macci, Claudio & Ricciuti, Costantino, 2020. "Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6364-6387.
    2. Riva-Palacio, Alan & Leisen, Fabrizio, 2021. "Compound vectors of subordinators and their associated positive Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 183(C).

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