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Properties of Hierarchical Archimedean Copulas [PDF]

Statistics and Risk Modeling, 2013
Abstract In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins.
Wolfgang Schmid, Ostap Okhrin
exaly   +5 more sources

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Simulating From Exchangeable Archimedean Copulas

Communications in Statistics Part B: Simulation and Computation, 2007
Multivariate exchangeable Archimedean copulas are one of the most popular classes of copulas that are used in actuarial science and finance for modeling risk dependencies and for using them to quantify the magnitude of tail dependence. Owing to the increase in popularity of copulas to measure dependent risks, generating from multivariate copulas has ...
Michael Sherris
exaly   +3 more sources

Semiparametric bivariate Archimedean copulas

Computational Statistics & Data Analysis, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
José Miguel Hernández-Lobato, Alberto Suárez 0001   +1 more
openaire   +3 more sources

Sampling Archimedean copulas

Computational Statistics & Data Analysis, 2008
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Efficiently Sampling Nested Archimedean Copulas

Computational Statistics and Data Analysis, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Marius Hofert
exaly   +3 more sources

Frankʼs condition for multivariate Archimedean copulas

Fuzzy Sets and Systems, 2014
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Arturo Erdely, José M. González-Barrios, María M. Hernández-Cedillo   +2 more
openaire   +1 more source

Hierarchies of Archimedean copulas

Quantitative Finance, 2009
We present a flexible class of hierarchical copulas capable of modelling multidimensional joint distributions of asset returns with a richer rank correlation structure than existing models. We derive estimators and simulation techniques. The methods are applied to an illustrative portfolio consisting of a subset of DAX stocks.
Cornelia Savu, Mark Trede
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A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas

Bulletin of the Malaysian Mathematical Sciences Society, 2022
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Abdulhamid A. Alzaid, Weaam M. Alhadlaq
openaire   +2 more sources

Estimating Archimedean Copulas in High Dimensions

Scandinavian Journal of Statistics, 2012
Abstract.  This article presents a novel estimation procedure for high‐dimensional Archimedean copulas. In contrast to maximum likelihood estimation, the method presented here does not require derivatives of the Archimedean generator. This is computationally advantageous for high‐dimensional Archimedean copulas in which higher‐order derivatives are ...
Hering, Christian, Stadtmüller, Ulrich
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Heterogeneous Archimedean Copula

SSRN Electronic Journal, 2016
Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.
openaire   +1 more source