Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
In this paper we analyse the properties of hierarchical Archimedean copulas. This classis a generalisation of the Archimedean copulas and allows for general non-exchangeable dependencystructures. We show that the structure of the copula can be uniquely recovered from all bivariate margins.We...