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Convergence of Archimedean Copulas

CentER Discussion Paper Series No. 2006-28

11 Pages Posted: 9 May 2006  

Arthur Charpentier

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)

Johan Segers

Catholic University of Louvain (UCL)

Date Written: April 2006

Abstract

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed.

Keywords: Archimedean copula, generator, Kendall distribution function

JEL Classification: C14, C16

Suggested Citation

Charpentier, Arthur and Segers, Johan, Convergence of Archimedean Copulas (April 2006). CentER Discussion Paper Series No. 2006-28. Available at SSRN: https://ssrn.com/abstract=900113 or http://dx.doi.org/10.2139/ssrn.900113

Arthur Charpentier

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) ( email )

92245 Malakoff Cedex
France

Johan Segers (Contact Author)

Catholic University of Louvain (UCL) ( email )

Place Montesquieu, 3
Louvain-la-Neuve, 1348
Belgium
+32 10 474311 (Phone)
+32 10 473032 (Fax)

HOME PAGE: http://www.uclouvain.be/stat

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