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Properties of hierarchical Archimedean copulas by Ostap Okhrin; Yarema Okhrin; Wolfgang Schmid is a Economics, Econometrics and Finance article available to read on EtoBox.

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## 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. We derive the distribution of the copula values, which is particularly useful for tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures, and extreme value copulas. We pay special attention to the tail dependencies and derive several tail dependence indices for general hierarchical Archimedean copulas.

Who reads Properties of hierarchical Archimedean copulas?

Author

Ostap Okhrin; Yarema Okhrin; Wolfgang Schmid

Publisher

Oldenbourg Wissenschaftsverlag; Walter de Gruyter GmbH (ISSN 2193-1402)

Published

2013

Language

EN

Field

Economics, Econometrics and Finance (Physical Sciences)