Heterogeneous Archimedean Copula

10 Pages Posted: 7 Dec 2016

Date Written: December 5, 2016

Abstract

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

Overbeck, Ludger, Heterogeneous Archimedean Copula (December 5, 2016). Available at SSRN: https://ssrn.com/abstract=2880622 or http://dx.doi.org/10.2139/ssrn.2880622

Ludger Overbeck (Contact Author)

University of Giessen ( email )

Institut of Mathematics
Giessen, 35394
Germany

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