ACST3060: Archimedean Copulas

Week 9 content (2024) for ACST3060 and ACST8085 (Quantitative Methods for Risk Analysis): we introduce Archimedean copulas. We derive the bivariate Gumbel and bivariate Clayton copula and discuss their properties. We briefly cover k-variate Archimedean copulas (for an arbitrary integer k } 2). (Narrated by Dr Guillaume Boglioni)