This paper addresses the problem of efficiently sampling exchangeable and nested Archimedean copulas, with specific focus on large dimensions, where methods involving generator derivatives, such as the conditional distribution method, are not applicable. Additionally, new conditions under which Archimedean copulas can be mixed to construct nested… (More)
Companies in the same industry sector are usually stronger correlated than firms in different sectors, as they are similarly affected by macroeconomic effects, political decisions, and consumer trends. In spite of many stock return models taking account of this fact there are only a few credit default models taking it into consideration. In this paper we… (More)
Motivated by too restrictive or even incorrect statements about generalized inverses in the literature, properties about these functions are investigated and proven. Examples and counterexamples show the importance of generalized inverses in mathematical theory and its applications.
A goodness-of-fit test for exchangeable Archimedean copulas is presented. In a large-scale simulation study it is shown that the test performs well according to the error probability of the first kind and the power under several alternatives, especially in large dimensions. The proposed test is compared to other known tests for Archimedean copulas. In… (More)
The package copula (formerly nacopula) provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities of falling into hypercubes, as well as evaluation of characteristics such as Kendall's… (More)