Work

Hierarchical Archimax copulas

Year: 2017

Type: preprint

Abstract: The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of $d$-norm generators is introduced to construct hierarchical stable tail dependence functions which induce a hierarchical structure on Archimax copulas. Second, by itself or additionally, hierarchical frailties are introduced to extend Archimax copulas to hierarchical Archimax copulas in a similar way as nested Archimedean copulas extend Archimedean copulas. Possible extensions to nested Archimax copulas are discussed. Additionally, a general formula for the density and its evaluation of Archimax copulas is introduced.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1707.00517

Authors: Hofert, Marius, Huser, Raphael, Prasad, Avinash

Institutions: University of Waterloo, King Abdullah University of Science and Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Eidgenössische Technische Hochschule Zürich, Natural Sciences and Engineering Research Council of Canada

Award: G7852534476

OpenAlex ID: W2952573801

Cites: 12

Cited by:

Related to: 20