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Archimedean copulae and positive dependence

Author

Listed:
  • Marco Scarsini

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique, Dipartimento di Scienze Economiche e Aziendali - LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma])

  • Alfred Muller

Abstract

In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae that possess positive dependence properties such as multivariate total positivity of order 2 (MTP2) and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Archimedean copula, and we show that they depend on the extendibility of the sequence, and therefore on its positive-dependence properties.

Suggested Citation

  • Marco Scarsini & Alfred Muller, 2005. "Archimedean copulae and positive dependence," Post-Print hal-00539618, HAL.
    • Handle: RePEc:hal:journl:hal-00539618
    DOI: 10.1016/j.jmva.2004.04.003
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