ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE

B-Tier
Journal: Econometric Theory
Year: 2012
Volume: 28
Issue: 6
Pages: 1165-1185

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain. We verify our assumptions for a range of Archimedean copulas used in applications.

Technical Details

RePEc Handle
repec:cup:etheor:v:28:y:2012:i:06:p:1165-1185_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-24