Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25330 
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dc.contributor.authorOkhrin, Ostapen
dc.contributor.authorOkhrin, Yaremaen
dc.contributor.authorSchmid, Wolfgangen
dc.date.accessioned2009-03-19-
dc.date.accessioned2009-07-23T15:15:22Z-
dc.date.available2009-07-23T15:15:22Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/25330-
dc.description.abstractIn 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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2009,014en
dc.subject.jelC16en
dc.subject.jelC46en
dc.subject.ddc330en
dc.subject.keywordCopulaen
dc.subject.keywordmultivariate distributionen
dc.subject.keywordArchimedean copulaen
dc.subject.keywordstochastic orderingen
dc.subject.keywordhierarchical copulaen
dc.subject.stwKopula (Mathematik)en
dc.subject.stwMultivariate Analyseen
dc.subject.stwTheorieen
dc.titleProperties of hierarchical Archimedean copulas-
dc.type|aWorking Paperen
dc.identifier.ppn594008255en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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