Exploring the ? copula construction method for Archimedean copulas: Discussion of three ? types

Frederik Michiels, Inge Koch and Ann de Scheppr
Authors registered in the RePEc Author Service: Ann De Schepper ()

Working Papers from University of Antwerp, Faculty of Business and Economics

Abstract: We introduce and discuss a new parametric copula builder which is named the “? construction method”. The methodology is explained and illustrated using 3 types of ? functions. It shows that the ? method has strong visual advantages for recognizing key dependence characteristics and importing them into the copula model. Furthermore, the ? method facilitates the representation of a copula family as a collection of comparable test spaces as defined in Michiels and De Schepper (2008). As such, the modeling capacity of these families is discussed in a clear way.

Keywords: Copula; Kendall’s ?; Multiparametric Archimedean copula family; Tail dependence (search for similar items in EconPapers)
Pages: 32 pages
Date: 2008-12
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ant:wpaper:2008021

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