Kallsen, Jan; Tankov, Peter - In: Journal of Multivariate Analysis 97 (2006) 7, pp. 1551-1572
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...