Dependence structure of conditional Archimedean copulas
In 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.
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|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
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.
- 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.
- U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 69-85.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:99:y:2008:i:3:p:372-385. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.