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http://hdl.handle.net/10419/25330
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| Title: | | Properties of hierarchical Archimedean copulas  |
| Authors: | | Okhrin, Ostap Okhrin, Yarema Schmid, Wolfgang |
| Issue Date: | | 2009 |
| Series/Report no.: | | SFB 649 discussion paper 2009,014 |
| Abstract: | | In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean opulas 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 confidence 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. |
| Subjects: | | Copula multivariate distribution Archimedean copula stochastic ordering hierarchical copula |
| JEL: | | C16 C46 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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