Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Statistics & Risk Modeling

with Applications in Finance and Insurance

Editor-in-Chief: Stelzer, Robert


Cite Score 2018: 0.85

SCImago Journal Rank (SJR) 2018: 0.354
Source Normalized Impact per Paper (SNIP) 2018: 0.604

Mathematical Citation Quotient (MCQ) 2018: 0.36

Online
ISSN
2196-7040
See all formats and pricing
More options …
Volume 30, Issue 1

Issues

Properties of hierarchical Archimedean copulas

Ostap Okhrin
  • Insitute for Statistics and Econometries, Humboldt Universität zu Berlin, Berlin, Deutschland
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
/ Yarema Okhrin / Wolfgang Schmid
Published Online: 2013-03-06 | DOI: https://doi.org/10.1524/strm.2013.1071

Abstract

In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula values, which is particularly useful for tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures, and extreme value copulas. We pay special attention to the tail dependencies and derive several tail dependence indices for general hierarchical Archimedean copulas.

Keywords: copula; multivariate distribution; Archimedean copula; stochastic ordering; hierarchical copula

About the article

* Correspondence address: Universität Augsburg, Lehrstuhl für Statistik, Universitätsstr. 16, 86159 Augsburg, Deutschland,


Published Online: 2013-03-06

Published in Print: 2013-03-01


Citation Information: Statistics & Risk Modeling with Applications in Finance and Insurance, Volume 30, Issue 1, Pages 21–54, ISSN (Print) 2193-1402, DOI: https://doi.org/10.1524/strm.2013.1071.

Export Citation

© by Oldenbourg Wissenschaftsverlag, München, Germany.Get Permission

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
Wolfgang K. HHrdle and Ostap Okhrin
SSRN Electronic Journal , 2009
[2]
Wolfgang K. HHrdle, Ostap Okhrin, and Weining Wang
SSRN Electronic Journal , 2012
[3]
Hélène Cossette, Simon-Pierre Gadoury, Etienne Marceau, and Christian Y. Robert
Journal of Multivariate Analysis, 2019
[4]
Agustín Sánchez-Arcilla, Jue Lin-Ye, Manuel García-León, Vicente Gràcia, and Elena Pallarès
Ocean Science, 2019, Volume 15, Number 1, Page 113
[6]
Enrico Bernardi and Silvia Romagnoli
International Journal of Information Technology & Decision Making, 2016, Volume 15, Number 02, Page 285
[7]
Martin Holena, Lukas Bajer, and Martin Scavnicky
IEEE Transactions on Knowledge and Data Engineering, 2015, Volume 27, Number 10, Page 2851
[8]
Candida Geerdens, Gerda Claeskens, and Paul Janssen
Lifetime Data Analysis, 2016, Volume 22, Number 3, Page 363
[9]
Jan Górecki, Marius Hofert, and Martin Holeňa
Journal of Intelligent Information Systems, 2016, Volume 46, Number 1, Page 21
[10]
Mikhail Zolotko and Ostap Okhrin
Energy Economics, 2014, Volume 43, Page 284
[11]
Johan Segers and Nathan Uyttendaele
Computational Statistics & Data Analysis, 2014, Volume 72, Page 190
[12]
Göran Kauermann and Renate Meyer
Computational Statistics, 2014, Volume 29, Number 1-2, Page 283
[13]
Barbara Choroś-Tomczyk, Wolfgang Karl Härdle, and Ostap Okhrin
Journal of Empirical Finance, 2013, Volume 24, Page 42

Comments (0)

Please log in or register to comment.
Log in