Constructing hierarchical Archimedean copulas with Lévy subordinators

Metadata only

Author

Date

2010-07

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Journal of Multivariate Analysis

Volume

101(6)

Pages / Article No.

1428 - 1433

Publisher

Elsevier

Subject

Hierarchical Archimedean copulas; Lévy subordinators; Sampling algorithm

Organisational unit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Notes

Received 6 May 2009, Available online 16 October 2009.

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yes

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