Arbeitspapier
Properties of hierarchical Archimedean copulas
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2009,014
- Klassifikation
-
Wirtschaft
Specific Distributions; Specific Statistics
- Thema
-
Copula
multivariate distribution
Archimedean copula
stochastic ordering
hierarchical copula
Kopula (Mathematik)
Multivariate Analyse
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Okhrin, Ostap
Okhrin, Yarema
Schmid, Wolfgang
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Okhrin, Ostap
- Okhrin, Yarema
- Schmid, Wolfgang
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2009
Ähnliche Objekte (12)
Estimation procedures for exchangeable Marshall copulas with hydrological application
Hierarchical Archimedean copulae: The HAC package
Time-varying hierarchical archimedean copulas using adaptively simulated critical values
Time varying hierarchical archimedean copulae
Fitting high-dimensional copulae to data
On the structure and estimation of hierarchical Archimedean copulas
De copulis non est disputandum Copulae: An overview
Modelling general dependence between commodity forward curves
Realized copula
CDO, HAME Copulas and an R Package "CDO"
Modelling of vector MEM with hierarchical Archimedean copula
HMM in dynamic HAC models
Estimation procedures for exchangeable Marshall copulas with hydrological application
Hierarchical Archimedean copulae: The HAC package
Time-varying hierarchical archimedean copulas using adaptively simulated critical values
Time varying hierarchical archimedean copulae
Fitting high-dimensional copulae to data
On the structure and estimation of hierarchical Archimedean copulas
De copulis non est disputandum Copulae: An overview
Modelling general dependence between commodity forward curves
Realized copula
CDO, HAME Copulas and an R Package "CDO"
Modelling of vector MEM with hierarchical Archimedean copula
HMM in dynamic HAC models
Estimation procedures for exchangeable Marshall copulas with hydrological application
Hierarchical Archimedean copulae: The HAC package
Time-varying hierarchical archimedean copulas using adaptively simulated critical values
Time varying hierarchical archimedean copulae
Fitting high-dimensional copulae to data
On the structure and estimation of hierarchical Archimedean copulas
De copulis non est disputandum Copulae: An overview
Modelling general dependence between commodity forward curves
Realized copula
CDO, HAME Copulas and an R Package "CDO"
Modelling of vector MEM with hierarchical Archimedean copula