Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case

Mai Jan-Frederik ()
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Mai Jan-Frederik: XAIA Investment GmbH, Sonnenstr. 19, 80331München, Germany

Dependence Modeling, 2019, vol. 7, issue 1, 202-214

Abstract: Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case. The underlying stochastic models for both algorithms arise as a particular instance of a more general probability space studied recently in Ressel, P. (2018): A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas. Depend. Model. 6, 356–368. On this probability space the inter-group dependence need not be Archimedean, however, we highlight two particular circumstances that guarantee that a hierarchical Archimedean copula is obtained.

Keywords: copula; hierachical Archimedean copula; simulation; d-monotone (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:7:y:2019:i:1:p:202-214:n:10

DOI: 10.1515/demo-2019-0010

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