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Title:Properties of hierarchical Archimedean copulas PDF Logo
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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