H-extendible copulas

JOURNAL OF MULTIVARIATE ANALYSIS

卷:110

Article; Proceedings Paper

Mai, Jan-Frederik¹  Scherer, Matthias¹ 

[1] Tech Univ Munich, Lehrstuhl Finanzmath, D-85748 Garching, Germany

关键词: Hierarchical copula;    h-extendible copula;    De Finetti's theorem;    Factor model;   

DOI  :  10.1016/j.jmva.2012.03.011

来源: Elsevier

【 摘 要 】

We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of h-extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to It-extendible Archimedean and h-extendible Marshall-Olkin copulas. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

Free