Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - 2009
. Furthermore, we analyse dependence orderings, multivariate dependence measures
and extreme value copulas. Special attention we pay ….
Keywords: copula; multivariate distribution; Archimedean copula; stochastic ordering; hierarchical
copula.
JEL Classiflcation … play an increasingly important role in econometrics. For an arbitrary multivariate
distribution they allow to separate the …