On Finite-Dimensional Archimedean Copulas

Sergey V. Malov

24 citations0/0 files storedBirkhäuser Boston eBooks

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Financial Risk and Volatility Modeling Probability and Statistical Research Probability and Risk Models

Abstract

We investigate general finite dimensional Archimedean copulas. Some properties of generators of Archimedean copulas are under consideration. We obtain necessary and sufficient conditions for the generators of Archimedean copulas and give some properties of degenerate finite dimensional Archimedean copulas. Some examples of degenerate finite dimensional Archimedean copulas are also represented.

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