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Document type:
Zeitschriftenaufsatz 
Author(s):
Hering, C.; Hofert, M.; Mai, J.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Constructing hierarchical Archimedean copulas with Lévy subordinators 
Abstract:
A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical Archimedean survival copula. This approach suggests an efficient sampling algorithm and allows one to easily construct several new parametric families of hierarchical Archimedean copulas. 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Multivariate Analysis 
Year:
2010 
Journal volume:
101 
Journal issue:
Pages contribution:
1428-1433 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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