Archimedean Copulae and Positive Dependence

Alfred Müller and Marco Scarsini

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: In the first part of the paper we consider positive dependence properties of Archimedean copulae. Especially we characterize the Archimedean copulae that are multivariate totally positive of order 2 (MTP2) and conditionally increasing in sequence. In the second part we investigate conditions for binary sequences to admit an Archimedean copula.

Keywords: Conditionally increasing; MTP2; positive lower orthant dependent; exchangeability; binary sequences. (search for similar items in EconPapers)
Pages: 16 pages
Date: 2003-06
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (14)

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Related works:
Journal Article: Archimedean copulæ and positive dependence (2005)
Working Paper: Archimedean copulae and positive dependence (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:25-2003

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