Hofert, Marius; Ziegel, Johanna F. - In: Risks 9 (2021) 4, pp. 1-24
The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas. Basic properties of this...