H-extendible copulas

Authors:
Jan-Frederik Mai;Matthias Scherer
Affiliations:
-;-
Venue:
Journal of Multivariate Analysis
Year:
2012

Citing 8
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Abstract

We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of h-extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to h-extendible Archimedean and h-extendible Marshall-Olkin copulas.