Multivariate Archimax copulas

A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar and Jágr (2013), who asked under which conditions it holds. This paper answers their question and provides a stochastic representation of multivariate Archimax copulas. A few basic properties of these copulas are explored, including their minimum and maximum domains of attraction. Several non-trivial examples of multivariate Archimax copulas are also provided.

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Year of publication:	2014
Authors:	Charpentier, A. ; Fougères, A.-L. ; Genest, C. ; Nešlehová, J.G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 126.2014, C, p. 118-136
Publisher:	Elsevier
Subject:	Archimedean copula \| Domain of attraction \| Multivariate extreme-value distribution \| Stable tail dependence function \| Williamson d-transform

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

Persistent link: https://www.econbiz.de/10011041963