Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25330
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dc.contributor.authorOkhrin, Ostapen_US
dc.contributor.authorOkhrin, Yaremaen_US
dc.contributor.authorSchmid, Wolfgangen_US
dc.date.accessioned2009-03-19en_US
dc.date.accessioned2009-07-23T15:15:22Z-
dc.date.available2009-07-23T15:15:22Z-
dc.date.issued2009en_US
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_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2009,014en_US
dc.subject.jelC16en_US
dc.subject.jelC46en_US
dc.subject.ddc330en_US
dc.subject.keywordCopulaen_US
dc.subject.keywordmultivariate distributionen_US
dc.subject.keywordArchimedean copulaen_US
dc.subject.keywordstochastic orderingen_US
dc.subject.keywordhierarchical copulaen_US
dc.subject.stwKopula (Mathematik)en_US
dc.subject.stwMultivariate Analyseen_US
dc.subject.stwTheorieen_US
dc.titleProperties of hierarchical Archimedean copulasen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn594008255en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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