Dependence structure of conditional Archimedean copulas
AbstractIn this article, copulas associated to multivariate conditional distributions in an Archimedean model are characterized. It is shown that this popular class of dependence structures is closed under the operation of conditioning, but that the associated conditional copula has a different analytical form in general. It is also demonstrated that the extremal copula for conditional Archimedean distributions is no longer the Frechet upper bound, but rather a member of the Clayton family. Properties of these conditional distributions as well as conditional versions of tail dependence indices are also considered.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 99 (2008)
Issue (Month): 3 (March)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Patricia Mariela Morillas, 2005. "A method to obtain new copulas from a given one," Metrika, Springer, vol. 61(2), pages 169-184, 04.
- Manatunga, Amita K. & Oakes, David, 1996. "A Measure of Association for Bivariate Frailty Distributions," Journal of Multivariate Analysis, Elsevier, vol. 56(1), pages 60-74, January.
- Nelsen, Roger B., 1997. "Dependence and Order in Families of Archimedean Copulas," Journal of Multivariate Analysis, Elsevier, vol. 60(1), pages 111-122, January.
- Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
- Müller, Alfred & Scarsini, Marco, 2005.
"Archimedean copulæ and positive dependence,"
Journal of Multivariate Analysis,
Elsevier, vol. 93(2), pages 434-445, April.
- Hennessy, David A. & Lapan, Harvey E., 2002. "Use of Archimedean Copulas to Model Portfolio Allocations, The," Staff General Research Papers 5223, Iowa State University, Department of Economics.
- Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 33(2), pages 337-366.
- U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 69-85.
- Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.