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- Title:
Constructing hierarchical Archimedean copulas with Lévy subordinators
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Hering, C.; Hofert, M.; Mai, J.; Scherer, M.
- Non-TUM Co-author(s):
- ja
- Cooperation:
- international
- 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:
- 6
- 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
BibTeX
versions
Occurrences:
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Journal PapersScherer, M.