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Archimedean Copulae and Positive Dependence

Listed author(s):
  • Alfred Müller

    ()

  • Marco Scarsini

    ()

In the first part of the paper we consider positive dependence properties of Archimedean copulae. Especially we characterize the Archimedean copulae that are multivariate totally positive of order 2 (MTP2) and conditionally increasing in sequence. In the second part we investigate conditions for binary sequences to admit an Archimedean copula.

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File URL: http://www.biblioecon.unito.it/biblioservizi/RePEc/icr/wp2003/Scarsini25-03.pdf
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Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 25-2003.

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Length: 16 pages
Date of creation: Jun 2003
Handle: RePEc:icr:wpmath:25-2003
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