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
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:: 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