Archimedean Copulas and Temporal Dependence
AbstractWe study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the associated Markov chain. We verify our assumptions for a range of Archimedean copulas used in applications.
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Bibliographic InfoPaper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt0xh8q1g3.
Date of creation: 09 Sep 2010
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archimedean copula; geometric ergodicity; Markov chain; mixing; regular variation; tail dependence; Social and Behavioral Sciences;
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