McNeil, Alexander J.; Neslehová, Johanna - In: Journal of Multivariate Analysis 101 (2010) 8, pp. 1772-1790
We use a recent characterization of the d-dimensional Archimedean copulas as the survival copulas of d-dimensional simplex distributions (McNeil and Neslehová (2009) [1]) to construct new Archimedean copula families, and to examine the relationship between their dependence properties and the...