Luciano, Elisa; Semeraro, Patrizia - Collegio Carlo Alberto, Università degli Studi di Torino - 2008
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...