Archimedean Copulas and Temporal Dependence

Brendan Beare

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the associated Markov chain. We verify our assumptions for a range of Archimedean copulas used in applications.

Keywords: archimedean copula; geometric ergodicity; Markov chain; mixing; regular variation; tail dependence; Social and Behavioral Sciences (search for similar items in EconPapers)
Date: 2010-09-09
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Citations: View citations in EconPapers (61)

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Related works:
Journal Article: ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt0xh8q1g3

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