Dependence structure of conditional Archimedean copulas

Mhamed Mesfioui and Jean-François Quessy

Journal of Multivariate Analysis, 2008, vol. 99, issue 3, 372-385

Abstract: In this article, copulas associated to multivariate conditional distributions in an Archimedean model are characterized. It is shown that this popular class of dependence structures is closed under the operation of conditioning, but that the associated conditional copula has a different analytical form in general. It is also demonstrated that the extremal copula for conditional Archimedean distributions is no longer the Frechet upper bound, but rather a member of the Clayton family. Properties of these conditional distributions as well as conditional versions of tail dependence indices are also considered.

Keywords: Archimedean; copulas; Conditional; distributions; Frechet; upper; bound (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (11)

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