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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
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