Constructing hierarchical Archimedean copulas with Lévy subordinators

Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Hering, C.; Hofert, M.; Mai, J.; Scherer, M.
Nicht-TUM Koautoren:: ja
Kooperation:: international
Titel:: 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
Zeitschriftentitel:: Journal of Multivariate Analysis
Jahr:: 2010
Band / Volume:: 101
Heft / Issue:: 6
Seitenangaben Beitrag:: 1428-1433
Reviewed:: ja
Sprache:: en
Status:: Verlagsversion / published
TUM Einrichtung:: Lehrstuhl für Finanzmathematik
Key publication:: Nein
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
commissioned:: not commissioned
Professional Journal:: Nein
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