Archimedean Copulas and Temporal Dependence

We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the associated Markov chain. We verify our assumptions for a range of Archimedean copulas used in applications.

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Year of publication:	2010-09-09
Authors:	Beare, Brendan K.
Institutions:	Department of Economics, University of California-San Diego (UCSD)
Subject:	archimedean copula \| geometric ergodicity \| Markov chain \| mixing \| regular variation \| tail dependence \| Social and Behavioral Sciences

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Extent:	application/pdf
Series:	University of California at San Diego, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Economics, UCSD
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010817548