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A note on bivariate Archimax copulas

Author

Listed:
  • Durante Fabrizio

    (Dipartimento di Scienze dell’Economia, Università del Salento,Lecce, Italy)

  • Sánchez Juan Fernández

    (Grupo de Investigación de Análisis Matemático, Universidad deAlmería, Spain)

  • Sempi Carlo

    (Dipartimento di Matematica e Fisica “Ennio De Giorgi”, Università del Salento,Lecce, Italy)

Abstract

We present an analytical proof of the characterisation of bivariate Archimax copulas in terms of the properties of their generating functions.

Suggested Citation

  • Durante Fabrizio & Sánchez Juan Fernández & Sempi Carlo, 2018. "A note on bivariate Archimax copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 178-182, October.
    • Handle: RePEc:vrs:demode:v:6:y:2018:i:1:p:178-182:n:11
    DOI: 10.1515/demo-2018-0011
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    References listed on IDEAS

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    1. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
    2. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
    3. Ressel, Paul, 2013. "Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 246-256.
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    Cited by:

    1. Firanchuk, Alexander (Фиранчук, Александр), 2018. "The Russian Food Embargo, its Impact on Food Imports, and the Role of Third Countries in Violating the Embargo (Re-Export) [Российское Продуктовое Эмбарго, Его Влияние На Импорт Продовольственных Т," Working Papers 041802, Russian Presidential Academy of National Economy and Public Administration.

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    More about this item

    Keywords

    Archimax copulas; Pickands functions;

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