Archimedean opulas 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 … tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …

This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …

directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …