Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …