Multivariate Archimax copulas

A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar and Jagr (2013), who asked under which conditions it holds. This paper answers their question and provides a stochastic representation of multivariate Archimax copulas. A few basic properties of these copulas are explored, including their minimum and maximum domains of attraction. Several non-trivial examples of multivariate Archimax copulas are also provided.

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