Archimedean Copulas and Temporal Dependence

We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the associated Markov chain. We verify our assumptio… ns for a range of Archimedean copulas used in applications.