Invariant dependence structures and Archimedean copulas

We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.

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Year of publication:	2011
Authors:	Durante, Fabrizio ; Jaworski, Piotr ; Mesiar, Radko
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 1995-2003
Publisher:	Elsevier
Subject:	Archimedean copula \| Clayton model \| Copula \| Tail dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571761