Heterogeneous Archimedean Copula
10 Pages Posted: 7 Dec 2016
Date Written: December 5, 2016
Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.
Keywords: Archimedean Copula, Heterogeneity, (Tail)-Dependency
JEL Classification: C30, C51
Suggested Citation: Suggested Citation