Properties of Hierarchical Archimedean Copulas
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for tests and constructing conÂ¯dence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures and extreme value copulas. Special attention we pay to the tail dependencies and derive several tail dependence indices for general hierarchical Archimedean copulas.
|Date of creation:||Mar 2009|
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Web page: http://sfb649.wiwi.hu-berlin.de
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- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Niall Whelan, 2004. "Sampling from Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 339-352.
- Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
- Nelsen, Roger B., 1997. "Dependence and Order in Families of Archimedean Copulas," Journal of Multivariate Analysis, Elsevier, vol. 60(1), pages 111-122, January.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
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