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ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE

Published online by Cambridge University Press:  27 April 2012

Brendan K. Beare
Brendan K. Beare*
Affiliation:
University of California, San Diego
*
*Address correspondence to Brendan Beare, Department of Economics, University of California-San Diego, 9500 Gilman Drive #0508, La Jolla, CA 92093-0508, USA; e-mail: [email protected].
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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.

Type
Articles
Information
Econometric Theory , Volume 28 , Issue 6 , December 2012 , pp. 1165 - 1185
Copyright
Copyright © Cambridge University Press 2012 

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