Constructing hierarchical Archimedean copulas with Lévy subordinators

Journal of Multivariate Analysis

Volumn 101, Issue 6, 2010, Pages 1428-1433

  Hering, Christian ^a   Hofert, Marius ^a   Mai, Jan Frederik ^b   Scherer, Matthias ^b  

^a UNIVERSITY OF ULM   (Germany)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Hierarchical Archimedean copulas; L vy subordinators; Sampling algorithm

Indexed keywords

EID: 77949658105     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2009.10.005     Document Type: Article

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