Heterogeneous Archimedean Copula

Abstract

Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.

Keywords: Archimedean Copula, Heterogeneity, (Tail)-Dependency

JEL Classification: C30, C51