IDEAS home Printed from https://ideas.repec.org/a/vrs/demode/v6y2018i1p178-182n11.html
   My bibliography  Save this article

A note on bivariate Archimax copulas

Author

Listed:
  • Durante Fabrizio

    (Dipartimento di Scienze dell’Economia, Università del Salento,Lecce, Italy)

  • Sánchez Juan Fernández

    (Grupo de Investigación de Análisis Matemático, Universidad deAlmería, Spain)

  • Sempi Carlo

    (Dipartimento di Matematica e Fisica “Ennio De Giorgi”, Università del Salento,Lecce, Italy)

Abstract

We present an analytical proof of the characterisation of bivariate Archimax copulas in terms of the properties of their generating functions.

Suggested Citation

  • Durante Fabrizio & Sánchez Juan Fernández & Sempi Carlo, 2018. "A note on bivariate Archimax copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 178-182, October.
    • Handle: RePEc:vrs:demode:v:6:y:2018:i:1:p:178-182:n:11
    DOI: 10.1515/demo-2018-0011
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/demo-2018-0011
    Download Restriction: no
    File URL: https://libkey.io/10.1515/demo-2018-0011?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
    2. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
    3. Ressel, Paul, 2013. "Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 246-256.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Firanchuk, Alexander (Фиранчук, Александр), 2018. "The Russian Food Embargo, its Impact on Food Imports, and the Role of Third Countries in Violating the Embargo (Re-Export) [Российское Продуктовое Эмбарго, Его Влияние На Импорт Продовольственных Т," Working Papers 041802, Russian Presidential Academy of National Economy and Public Administration.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Górecki, Jan & Hofert, Marius & Okhrin, Ostap, 2021. "Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    2. Hofert, Marius & Huser, Raphaël & Prasad, Avinash, 2018. "Hierarchical Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 195-211.
    3. Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Working Papers hal-01147778, HAL.
    4. Hofert, Marius, 2021. "Right-truncated Archimedean and related copulas," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 79-91.
    5. Di Bernardino Elena & Rullière Didier, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.
    6. Mhalla, Linda & Chavez-Demoulin, Valérie & Naveau, Philippe, 2017. "Non-linear models for extremal dependence," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 49-66.
    7. Chaoubi, Ihsan & Cossette, Hélène & Marceau, Etienne & Robert, Christian Y., 2021. "Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs," Computational Statistics & Data Analysis, Elsevier, vol. 154(C).
    8. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
    9. Mai Jan-Frederik, 2022. "About the exact simulation of bivariate (reciprocal) Archimax copulas," Dependence Modeling, De Gruyter, vol. 10(1), pages 29-47, January.
    10. Elisa Perrone & Andreas Rappold & Werner G. Müller, 2017. "$$D_s$$ D s -optimality in copula models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 403-418, August.
    11. Mercadier Cécile & Ressel Paul, 2021. "Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application," Dependence Modeling, De Gruyter, vol. 9(1), pages 179-198, January.
    12. Michel Grabisch & Jean-Luc Marichal & Radko Mesiar & Endre Pap, 2011. "Aggregation functions: construction methods, conjunctive, disjunctive and mixed classes," Post-Print hal-00539032, HAL.
    13. Wysocki, Włodzimierz, 2013. "When a copula is archimax," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 37-45.
    14. Ferreira, Helena, 2012. "Multivariate maxima of moving multivariate maxima," Statistics & Probability Letters, Elsevier, vol. 82(8), pages 1489-1496.
    15. Rihab Bedoui & Makram Ben Dbabis, 2009. "Copulas and bivariate risk measures : an application to hedge funds," Working Papers hal-04140876, HAL.
    16. Einmahl, John & Segers, Johan, 2020. "Empirical Tail Copulas for Functional Data," Other publications TiSEM edc722e6-cc70-4221-87a2-8, Tilburg University, School of Economics and Management.
    17. Fung, Thomas & Seneta, Eugene, 2014. "Convergence rate to a lower tail dependence coefficient of a skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 62-72.
    18. Bücher, Axel & Volgushev, Stanislav & Zou, Nan, 2019. "On second order conditions in the multivariate block maxima and peak over threshold method," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 604-619.
    19. Umberto Cherubini & Sabrina Mulinacci, 2015. "Systemic Risk with Exchangeable Contagion: Application to the European Banking System," Papers 1502.01918, arXiv.org.
    20. Umberto Cherubini & Sabrina Mulinacci, 2021. "Hierarchical Archimedean Dependence in Common Shock Models," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 143-163, March.

    More about this item

    Keywords

    Archimax copulas; Pickands functions; 60E05;
    All these keywords.

    JEL classification:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:demode:v:6:y:2018:i:1:p:178-182:n:11. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.