Hierarchies of Archimedean copulas

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Flexible Copula Density Estimation with Penalized Hierarchical B‐splines (2013, methodology): “This includes, inter alia, hierarchical modelling of Archimedean copulas as suggested in Okhrin et al. (2009) and Savu & Trede (2010).”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, methodology): “One such approach are hierarchical Archimedean copulas, but they suffer from a hardly tractable density expression, always impose stronger within-cluster than between-cluster dependence and are limited to the Archimedean copula class (see, amongst others, Savu and Trede (2010)).”
Probabilistic assessment of flood risks using trivariate copulas (2012, methodology): “In order to increase flexibility and to allow for heterogeneous dependence—fully nested Archimedean (FNA) copulas were suggested in recent past (Whelan 2004; Savu and Trede 2010).”
Selecting and estimating regular vine copulae and application to financial returns (2012, background): “There has been eﬀort to extend the class of Archimedean copu-lae (see Joe (1997), Savu and Trede (2010), and Hofert (2011)), however these models require additional parameter restrictions.”
Hierarchical Kendall copulas: Properties and inference (2012, background): “The popular class of hierarchical Archimedean copulas also allows for a nested modelling of clusters of variables (see, e.g., Joe, 1997, Hofert, 2010, Savu & Trede, 2010; Okhrin, Okhrin, & Schmid, 2013).”