Multivariate Variance Gamma and Gaussian dependence: a study with copulas

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.