On some dependence structures for multidimensional Lévy driven moving averages

The Lévy copula can describe the dependence structure of a multidimensional Lévy process or a multivariate infinitely divisible random variable. Suppose the Lévy copula of a multidimensional Lévy process is known. We present the Lévy copula of the Lévy measure of the moving average driven by the multidimensional Lévy process. If there exist some special dependence structures among the components of the Lévy process, we give some dependence invariance properties after the transform of the moving average.