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• W1206145192 abstract "This paper presents the impact of a class of transformations of copulas in their upper and lower multivariate tail dependence coefficients. In particular we focus on multivariate Archimedean copulas. In the first part of this paper, we calculate multivariate transformed tail dependence coefficients when the generator of the considered transformed copula exhibits some regular variation properties, and we investigate the behaviour of these coefficients in cases that are close to tail independence. We obtain new results under specific conditions involving regularly varying hazard rates of components of the transformation. These results are also valid for non-transformed Archimedean copulas. In the second part we deal with transformations presented by Di Bernardino and Rulliere 20. We show the utility of using transformed Archimedean copulas, as they permit to build Archimedean generators exhibiting any chosen couple of lower and upper tail dependence coefficients. Finally, we detail the extreme behaviour of the transformed radial part of Archimedean copulas (using results in Larsson and Neslehova 52) and we explain possible applications with transformed Markov chains." @default.
• W1206145192 created "2016-06-24" @default.
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• W1206145192 date "2016-02-01" @default.
• W1206145192 modified "2023-10-16" @default.
• W1206145192 title "On tail dependence coefficients of transformed multivariate Archimedean copulas" @default.
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• W1206145192 doi "https://doi.org/10.1016/j.fss.2015.08.030" @default.
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