Constructing hierarchical archimedean copulas with Lévy subordinators

DOI10.1016/j.jmva.2009.10.005zbMath1194.60017MaRDI QIDQ968494

Jan-Frederik Mai, Matthias Scherer, Marius Hofert, Christian Hering

Publication date: 5 May 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.10.005

zbMATH Keywords

Lévy subordinators; sampling algorithm; hierarchical Archimedean copulas

Mathematics Subject Classification ID

62H99: Multivariate analysis

60E10: Characteristic functions; other transforms

60E05: Probability distributions: general theory

65C10: Random number generation in numerical analysis

Related Items

Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions, A review of copula models for economic time series, \(H\)-extendible copulas, Pricing distressed CDOs with stochastic recovery

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pair-copula constructions of multiple dependence
• Orthant tail dependence of multivariate extreme value distributions
• Sampling Archimedean copulas
• A probabilistic interpretation of complete monotonicity
• An introduction to copulas. Properties and applications
• Vines -- a new graphical model for dependent random variables.
• CDO pricing with nested Archimedean copulas
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Sampling nested Archimedean copulas
• On simulation from infinitely divisible distributions
• Sampling from Archimedean copulas
• Financial Modelling with Jump Processes