Convergence of Archimedean Copulas

Arthur Charpentier, Johan Segers
2006 Social Science Research Network  
Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed. JEL: C14, C16
doi:10.2139/ssrn.900113 fatcat:lpv5m3axefbzppxrys4cvolut4