Download This PaperConvergence of Archimedean Copulas
CentER Discussion Paper Series No. 2006-28
11 Pages Posted: 9 May 2006
Date Written: April 2006
Abstract
Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed.
Keywords: Archimedean copula, generator, Kendall distribution function
JEL Classification: C14, C16
Suggested Citation: Suggested Citation
Charpentier, Arthur and Segers, Johan, Convergence of Archimedean Copulas (April 2006). CentER Discussion Paper Series No. 2006-28, Available at SSRN: https://ssrn.com/abstract=900113 or http://dx.doi.org/10.2139/ssrn.900113
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