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Document type:
Buchbeitrag 
Author(s):
Mai, J.-F.; Scherer, M. 
Cooperation:
Title:
On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas 
Pages contribution:
299-311 
Abstract:
While Archimedean copulas are parameterized by real-valued functions, exchangeable Marshall-Olkin copulas are defined via sequences of real numbers. From a probabilistic perspective, the models behind both families have a different motivation. Consequently, their statistical properties are also different. In this regard, their striking analytical similarities are even more surprising. Considering sequences as discretized functions, most statements about Archimedean copulas and their correspondin...    »
 
Editor:
F. Durante, F.; Haerdle, W.; Jaworski, P.; Rychlik, T. 
Book title:
Workshop on Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings 
Intellectual Contribution:
Discipline-based Research 
Publisher:
Springer, Berlin/Heidelberg 
Year:
2010 
Reviewed:
ja 
Language:
en 
Semester:
SS 02 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
textbook