Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lévy measure. In order to describe the dependence structure of a multivariate Lévy measure, Tankov (2003) introduced Lévy copulas on <formula format="inline"><file name="sjos_527_mu1.gif" type="gif" /></formula>. (For an extension to <b><openface>R</openface>-super-<b>""m""</b></b>, see Kallsen & Tankov,...

We consider kernel-based estimators of integrated variances in the presence of independent market microstructure effects. We derive the bias and variance properties for all regular kernel-based estimators and derive a lower bound for their asymptotic variance. Further we show that the...